Concepedia

Option Pricing Using Fourier Transforms: A Numerically Efficient Simplification

Mukarram Attari

SSRN Electronic Journal · 2004 · 48 citations · 12 references

DOIFull text

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Concepts

References

12

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

, , +13

Transform Analysis and Asset Pricing for Affine Jump-diffusions

Darrell Duffie, Jun Pan, Kenneth J. Singleton · Econometrica · 2000 · 3K citations

, , +17

Mathematical Methods for Physicists

George B. Arfken, Albert A. Mullin · American Journal of Physics · 1967 · 2.7K citations

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Empirical Performance of Alternative Option Pricing Models

Gurdip Bakshi, Charles Cao, Zhiwu Chen · The Journal of Finance · 1997 · 2.7K citations · Full text

, , +16

Kendall's Advanced Theory of Statistics.

Aa, Alan Stuart, Keith Ord · Journal of the American Statistical Association · 1995 · 2.7K citations

, , +9