Modular pricing of options. An application of Fourier analysis
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zbMATH Open0954.91026MaRDI QIDQ1582802FDOQ1582802
Authors: Jianwei Zhu 
Publication date: 16 October 2000
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
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Cited In (6)
- On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
- Complex logarithms in Heston-like models
- Applications of Fourier transform to smile modeling. Theory and implementation.
- An explicitly solvable Heston model with stochastic interest rate
- Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
- Pricing multi-asset American option under Heston-CIR diffusion model with jumps
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