Modular Pricing of Options An Application of Fourier Analysis

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, stochastic 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.Zhu, Jianwei is the author of 'Modular Pricing of Options An Application of Fourier Analysis' with ISBN 9783540679165 and ISBN 3540679162.