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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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Fourier inversion formulas in option pricing and insurance
and calls, some using Parseval’s theorem. The expected value of max[S K,0] also arises in excess-of-loss ... them. The authors take the idea of using Parseval’s theorem further: 1. formulas requiring weaker assumptions ...- Authors: Daniel Dufresne, José Garrido, MANUEL MORALES
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Beta-Gamma Algebra, Discounted Cash-Flows, and Barnes' Lemmas
Beta-Gamma Algebra, Discounted Cash-Flows, and Barnes' Lemmas This is the abstract for the paper on beta-gamma algebra, ... formula for the Mellin transform E(X + Y )s, in terms of EXs and EY s. 2 ...- Authors: Daniel Dufresne
- Date: Jul 2010