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Changes of measure for the square-root stochastic volatility process
Changes of measure for the square-root stochastic volatility process This abstract describes a paper ... paper that considers the square-root process and its time integral as they occur in pricing options in stochastic ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2010
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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
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Option Pricing With Stochastic Volatility: Applying Parseval's Theorem
Option Pricing With Stochastic Volatility: Applying Parseval's Theorem This is the ... Applying Parseval's Theorem This is the abstract for the presentation on option pricing with stochastic ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2010
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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 ... Cash-Flows, and Barnes' Lemmas This is the abstract for the paper on beta-gamma algebra, discounted ...- Authors: Daniel Dufresne
- Date: Jul 2010