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Options / Finance / Stochastic processes / Fourier analysis / Heston model / Black–Scholes / Fourier transform / Implied volatility / Stochastic volatility / Mathematical finance / Mathematical analysis / Financial economics


FOURIER TRANSFORMS, OPTION PRICING AND CONTROLS MARK JOSHI AND CHAO YANG Abstract. We incorporate a simple and effective control-variate into Fourier inversion formulas for vanilla option prices. The control-variate used
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Document Date: 2013-08-05 02:14:54

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Company

Matsuda / /

Event

Labor Issues / /

IndustryTerm

control-variate algorithm / semi-closed-form solution / closed-form solution / finance / financial applications / insurance premium pricing problems / /

MusicGroup

AP2 / /

Person

CHAO YANG / Alan Lewis / MARK JOSHI / /

Position

rT / stochastic volatility model / representative / e−rT / /

Product

Fourier / Black-Scholes / /

ProgrammingLanguage

C++ / /

Technology

aforementioned three pricing algorithms / AP2 algorithms / five pricing algorithms / RAM / The control-variate algorithm / CV2 algorithm / pricing algorithm / following three pricing algorithms / /

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