Calculation of Option Prices using Methods of Spectral Analysis
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.
Volume (Year): (2013)
Issue (Month): 4 ()
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