Valuation of European Call Option via Inverse Fourier Transform
Very few models allow expressing European call option price in closed form. Out of them, the famous Black- Scholes approach sets strong constraints - innovations should be normally distributed and independent. Availability of a corresponding characteristic function of log returns of underlying asset...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2017-12-01
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| Series: | Information Technology and Management Science |
| Subjects: | |
| Online Access: | http://www.degruyter.com/view/j/itms.2017.20.issue-1/itms-2017-0016/itms-2017-0016.xml?format=INT |