Fourier inversion formulas in option pricing and insurance
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Publication:835682
DOI10.1007/S11009-007-9049-ZzbMATH Open1170.91410OpenAlexW2170589820MaRDI QIDQ835682FDOQ835682
Authors: N. E. Zubov 
Publication date: 31 August 2009
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11343/34326
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Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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- Risk theory for the compound Poisson process that is perturbed by diffusion
- On a new approach to calculating expectations for option pricing
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- Risk processes perturbed by α-stable Lévy motion
Cited In (15)
- A comprehensive mathematical approach to exotic option pricing
- Analysis of Fourier transform valuation formulas and applications
- Orthogonal polynomial expansions to evaluate stop-loss premiums
- Valuation of Discrete Dynamic Fund Protection Under Lévy Processes
- Lewis model revisited: option pricing with Lévy processes
- Efficient options pricing using the fast Fourier transform
- On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility
- Securitization of motor insurance loss rate risks
- Dependent defaults and losses with factor copula models
- Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes
- Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
- Option pricing using a regime switching stochastic discount factor
- Fourier inversion formulas for multiple-asset option pricing
- Pricing formulae for derivatives in insurance using Malliavin calculus
- Lookback option pricing using the Fourier transform B-spline method
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