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- tsunamijon
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Fourier study?
I'm looking at studying for a PhD concentrating on applications of fourier methods, in particular with respect to option valuation. Can anyone recommend the best institutions to study at, or well-renowned academics in this field?
Fourier study?
Daniel Sevcovic Smart guy, even written a textbook on PDEsQuoteAnalysis of the free boundary for the pricing of an American call option D. SevcovicAbstract The purpose of this paper is to analyze the free boundary problem for the Black-Scholes equation for pricing the American call option on stocks paying a continuous dividend. Using the Fourier integral transformation method we derive and analyze a nonlinear singular integral equation determining the shape of the free boundary. Numerical experiments based on this integral equation are also presented.
Fourier study?
Unfortunately, I didn't find yet a clear book or article showing application of transform methods to option pricing easy to understand, specially if you do not have a good background on complex integration.I'm very interested in this topic too.Hope somebody here in the forum could help us.Pierluigi