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Using the fast Fourier transform and Monte Carlo integration for pricing options

Simon I. Hill

Publication Data

Title Using the fast Fourier transform and Monte Carlo integration for pricing options
Author Simon I. Hill
Contributors Thomas Schreiber, Thomas Schreiber
Publisher University of Cambridge
Publication date 2008
Publication location Cambridge
Language English

Topics

Fourier transformations
Monte Carlo method
Options (Finance) :: Prices :: Mathematical models

Catalogue Data

OBNB ID GBA8D3335
ISBN 10 n/a
ISBN 13 n/a
Type BibliographicResource, Book
Dewey Classification 332.645301515723

ISBD

P1053 10 p.
P1042 Includes bibliographical references.

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Using the fast Fourier transform and Monte Carlo integration for pricing options by Simon I. Hill. Published by University of Cambridge in 2008. Publication and catalogue information, links to buy online and reader comments.