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Fourier inversion formulas in option pricing and insurance
compute prices of puts and calls, some using Parseval’s theorem. The expected value of max[S K,0] also ... also arises in excess-of-loss of stop-loss insurance. This is the abstract of a paper that shows that Fourier ...- Authors: Daniel Dufresne, José Garrido, MANUEL MORALES
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods