Option Pricing using Fourier Space Time-stepping Framework
This thesis develops a generic framework based on the Fourier transform for pricing and hedging of various options in equity, commodity, currency, and insurance markets. The pricing problem can be reduced to solving a partial integro-differential equation (PIDE). The Fourier Space Time-stepping (FST...
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| Language: | en_ca |
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2009
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| Online Access: | http://hdl.handle.net/1807/19300 |