Open AccessPricing Correlation Options: from the P. Carr and D. Madan Approach to the New Method Based on the Fourier Transform
Author(s) -
Arkadiusz Orzechowski
Publication year - 2018
Publication title -
economics and business review/the poznań university of economics review
Language(s) - English
Resource type - Journals
eISSN - 2392-1641
pISSN - 1643-5877
DOI - 10.18559/ebr.2018.1.2
Subject(s) - carr , fourier transform , derivative (finance) , valuation of options , financial economics , computer science , econometrics , economics , actuarial science , mathematics , mathematical analysis , ecology , biology