Abstract
As already explained in the previous chapters, in order to reproduce the real market dynamics it is necessary to introduce more sophisticated models than the Black-Scholes one. These models have to be calibrated to the market in order to approximate the quoted implied volatility surfaces: once this is done, they can give prices to exotic derivatives that are consistent with plain vanilla options.
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© 2011 Springer-Verlag Italia
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Pascucci, A. (2011). Fourier methods. In: PDE and Martingale Methods in Option Pricing. Bocconi & Springer Series. Springer, Milano. https://doi.org/10.1007/978-88-470-1781-8_15
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DOI: https://doi.org/10.1007/978-88-470-1781-8_15
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-1780-1
Online ISBN: 978-88-470-1781-8
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