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Option Pricing With Stochastic Volatility: Applying Parseval's Theorem
With Stochastic Volatility: Applying Parseval's Theorem This is the abstract for the presentation ... with stochastic volatility: applying Parseval's theorem. Abstract; 14502 7/30/2010 12:38:00 PM ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2010
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A General Formula for Option Prices in s Stochastic Volatility Model
A General Formula for Option Prices in s Stochastic Volatility Model This presentation considers the ... stochastic volatility. The presentation shows how Parseval’s theorem may be used to express those prices as Fourier ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods>Stochastic models