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Pricing Correlation Options: from the P. Carr And D. Madan Approach to the New Method Based on the Fourier Transform Cover

Pricing Correlation Options: from the P. Carr And D. Madan Approach to the New Method Based on the Fourier Transform

Economics and Business Review
Volume 4 (2018): Issue 1 (April 2018)
By: Arkadiusz Orzechowski  
Open Access
|May 2018
DOI: https://doi.org/10.18559/ebr.2018.1.2 | Journal eISSN: 2450-0097 | Journal ISSN: 2392-1641
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Language: English
Page range: 16 - 28
Published on: May 22, 2018
Published by: Poznań University of Economics and Business Press
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year
Keywords:
Fourier transform,
pricing of options,
correlation options.
Related subjects:
Business and economics,
Mathematics and statistics for economists,
Econometrics,
Political economics,
Political economics, other,
Finance

© 2018 Arkadiusz Orzechowski, published by Poznań University of Economics and Business Press
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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