Calculation of Option Prices using Methods of Spectral Analysis

Burtnyak Ivan Vladimirovich and Malitskaya Anna P.
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Burtnyak Ivan Vladimirovich: Precarpathian National University named after V. Stefanyk
Malitskaya Anna P.: Precarpathian National University named after V. Stefanyk

Business Inform, 2013, issue 4, 152_157

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.

Keywords: stochastic volatility; local volatility; spectral theory; singular wave theory; regular wave theory (search for similar items in EconPapers)
Date: 2013
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