Calculation of Option Prices Using Methods of Spectral Analysis

Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/1963

Title:	Calculation of Option Prices Using Methods of Spectral Analysis
Authors:	Буртняк, Іван Володимирович Малицька, Ганна Петрівна
Keywords:	stochastic volatility, local volatility, spectral theory, singular wave theory, regular wave theory
Issue Date:	11-Jun-2013
Abstract:	The article develops a systematic method of calculation of an approximate price for a wide range of securities with the help of instruments of spectral analysis, singular and regular wave theory. Price of options depend on stochastic volatility, which depends on a method. Finding the price is reduced to solution of a problem of finding own values and own functions of a specific equation.
URI:	http://hdl.handle.net/123456789/1963
Appears in Collections:	Статті та тези (ЕФ)

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