Applications of Fourier Transform to Smile Modeling Theory and Implementation /
The sound modeling of the smile effect is an important issue in quantitative finance as, for more than a decade, the Fourier transform has established itself as the most efficient tool for deriving closed-form option pricing formulas in various model classes. This book describes the applications of...
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| Format: | Electronic |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg,
2010.
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| Series: | Springer Finance
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| Online Access: | https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-642-01808-4 |