Fourier inversion formulas in option pricing and insurance

DOI10.1007/S11009-007-9049-ZMaRDI QIDQ835682zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Probabilistic methods for one variable harmonic analysis (42A61)

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• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• On a new approach to calculating expectations for option pricing
• Risk processes perturbed by α-stable Lévy motion
• Risk theory for the compound Poisson process that is perturbed by diffusion

Cited in

(15)

• Orthogonal polynomial expansions to evaluate stop-loss premiums
• Securitization of motor insurance loss rate risks
• 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
• Option pricing using a regime switching stochastic discount factor
• Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
• Fourier inversion formulas for multiple-asset option pricing
• Lewis model revisited: option pricing with Lévy processes
• Lookback option pricing using the Fourier transform B-spline method
• Pricing formulae for derivatives in insurance using Malliavin calculus
• A comprehensive mathematical approach to exotic option pricing
• Dependent defaults and losses with factor copula models
• Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
• Valuation of discrete dynamic fund protection under Lévy processes
• Analysis of Fourier transform valuation formulas and applications
• Efficient options pricing using the fast Fourier transform

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