Calculation of Option Prices using Methods of Spectral Analysis
Journal Title: Бізнес Інформ - Year 2013, Vol 4, Issue 0
Abstract
The article develops a systematic method of calculation of an approximate price for a wide range of securities with the help of instruments of spectral analysis, singular and regular wave theory. Price of options depend on stochastic volatility, which depends on a method. Finding the price is reduced to solution of a problem of finding own values and own functions of a specific equation.
Authors and Affiliations
Ivan Burtnyak, Anna Malitskaya
Keywords
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