As shown, the characteristic function of the log of stock price in the Black-Scholes framework is: =

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As shown, the characteristic function of the log of stock price in the Black-Scholes framework is:

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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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As shown, the characteristic function of the log of stock price in the Black-Scholes framework is: =

Question:

= exp ( i(so + (r-q-σ2/2)T)u (22.101)

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The following code can be used to price a call option under the BlackScholes model via FFT This yields the following prices for various values of B an...View the full answer

An Introduction to the Mathematics of Financial Derivatives

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