Fourier Transforms for Stochastic Processes

Geon Ho Choe
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Geon Ho Choe: Korea Advanced Institute of Science and Technology, Department of Mathematical Sciences

Chapter Chapter 24 in Quantitative Methods for Finance with Simulations II, 2026, pp 423-433 from Springer

Abstract: Abstract In this chapter we introduce the Fourier transform of a stochastic process to be used in option pricing in Chap. 25 . Previously in Sect. 22.2 we used the Fourier transform of a probability density function for option pricing, and in this chapter and the next, we extend the idea to more general cases.

Date: 2026
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DOI: 10.1007/978-3-032-12331-2_24

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