Show in order to price a European put via FFT we just need to choose <

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Show in order to price a European put via FFT we just need to choose α < −1.

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An Introduction to the Mathematics of Financial Derivatives

ISBN: 978-0123846822

3rd edition

Authors: Ali Hirsa, Salih N. Neftci

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Question Posted: Apr 29, 2016 03:47 PM

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Show in order to price a European put via FFT we just need to choose <

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In order to price a put via Fourier Transform we begin by looking at the standard formulation of a p...View the full answer

An Introduction to the Mathematics of Financial Derivatives

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