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Solving Black–Scholes with Fourier Transform

In: Advanced Finance Theories

Author

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  • Ser-Huang Poon

Abstract

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

Suggested Citation

  • Ser-Huang Poon, 2018. "Solving Black–Scholes with Fourier Transform," World Scientific Book Chapters, in: Advanced Finance Theories, chapter 7, pages 95-100, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814460385_0007
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    More about this item

    Keywords

    Intertemporal Portfolio Selection; Capital Structure; General Equilibrium; Spanning; Mutual Fund Theorem; Jumps; Incomplete Markets;
    All these keywords.

    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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