Characteristic Function Method

Ingo Beyna
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Ingo Beyna: Centre for Practical Quantitative Finance

Chapter Chapter 6 in Interest Rate Derivatives, 2013, pp 73-100 from Springer

Abstract: Abstract The Fourier Transform of the probability density function is known as the characteristic function. Based on the Inverse Fourier Transform of the characteristic function one can compute the expected value of a given function, e.g. the final payoff function of a derivative, in a certain model.

Keywords: Characteristic Function; Implied Volatility; Price Formula; Term Structure Model; Volatility Function (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/978-3-642-34925-6_6

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