Volatility Models: Pricing and Hedging with Fourier
Pricing and Hedging with Fourier: The research investigates a volatility model incorporating famous models like SteinStein Bergomi and Heston, using Fourier inversion techniques for pricing and hedging certain options.
Featured in No. 36 on 7 Feb 2024 · 5 days after release
- Released
- 2 Feb 2024
- First featured
- No. 36 · 7 Feb 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 171
- Identifier
- SSRN 4714535
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