Fourier methods

  • Andrea Pascucci
Part of the Bocconi & Springer Series book series (BS)


As already explained in the previous chapters, in order to reproduce the real market dynamics it is necessary to introduce more sophisticated models than the Black-Scholes one. These models have to be calibrated to the market in order to approximate the quoted implied volatility surfaces: once this is done, they can give prices to exotic derivatives that are consistent with plain vanilla options.


Option Price Call Option Implied Volatility Fourier Method Price Formula 


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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Andrea Pascucci
    • 1
  1. 1.Department of MathematicsUniversity of BolognaBologna

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