Solving Black–Scholes with Fourier Transform

Ser-Huang Poon

Chapter 7 in Advanced Finance Theories, 2018, pp 95-100 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Option Pricing with Fourier TransformBlack–Scholes hedge portfolioBlack–Scholes Fundamental PDEFourier transformSolution through transform method

Keywords: Intertemporal Portfolio Selection; Capital Structure; General Equilibrium; Spanning; Mutual Fund Theorem; Jumps; Incomplete Markets (search for similar items in EconPapers)
JEL-codes: G30 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814460385_0007 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814460385_0007 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814460385_0007

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().