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＜図書＞
Modular pricing of options : an application of Fourier analysis
| 責任表示 | Jianwei Zhu |
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| シリーズ | Lecture notes in economics and mathematical systems ; 493 |
| データ種別 | 図書 |
| 出版情報 | Berlin ; Tokyo : Springer , c2000 |
| 本文言語 | 英語 |
| 大きさ | 170 p. : ill. ; 24 cm |
| 概要 | This book provides a comprehensive, up-to-date treatment of the application of Fourier analyses to pricing standard and exotic options, and discusses three different factors: stochastic volatility, s...ochastic interest rate and random jump. The modeling of volatility and interest rate falls into four different alternatives: constant, mean-reverting Ornstein-Uhlenbeck process, mean-reverting square root process and mean-reverting double square root process, while random jumps are specified as pure jumps, lognormal jumps and Pareto jumps. This framework called Modular Pricing of Options includes most of the existing options pricing formulas as special cases. 続きを見る |
所蔵情報
| 状態 | 巻次 | 所蔵場所 | 請求記号 | 刷年 | 文庫名称 | 資料番号 | コメント | 予約・取寄 | 複写申込 | 自動書庫 |
|---|---|---|---|---|---|---|---|---|---|---|
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理系図3F 数理独自 | SER/LNEMS/493 | 2000 |
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023212000006708 |
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書誌詳細
| 一般注記 | A rev. version of the author's dissertation (doctoral--Tübingen) Bibliography: p. [163]-170 |
|---|---|
| 著者標目 | *Zhu, Jianwei, 1970- |
| 件 名 | LCSH:Options (Finance) -- Prices
全ての件名で検索
LCSH:Fourier analysis |
| 分 類 | LCC:HG6024.A3 DC21:332.64/5 NDC9:338.1 |
| 書誌ID | 1001399600 |
| ISBN | 3540679162 |
| NCID | BA48515069 |
| 巻冊次 | ISBN:3540679162 |
| 登録日 | 2009.11.02 |
| 更新日 | 2009.11.02 |