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Calculation of Option Prices using Methods of Spectral Analysis

Author

Listed:
  • Burtnyak Ivan Vladimirovich

    (Precarpathian National University named after V. Stefanyk)

  • Malitskaya Anna P.

    (Precarpathian National University named after V. Stefanyk)

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.

Suggested Citation

  • Burtnyak Ivan Vladimirovich & Malitskaya Anna P., 2013. "Calculation of Option Prices using Methods of Spectral Analysis," Business Inform, RESEARCH CENTRE FOR INDUSTRIAL DEVELOPMENT PROBLEMS of NAS (KHARKIV, UKRAINE), Kharkiv National University of Economics, issue 4, pages 152-157.
    • Handle: RePEc:idp:bizinf:y:2013:i:4:p:152_157
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