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In this chapter we introduce the Fourier transform of a stochastic process to be used in option pricing in Chap. 25 . Previously in Sect. 22.2 we used the Fourier transform of a probability density function for option pricing, and in this chapter and the next, we extend the idea to more general cases.

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Fourier Transforms for Stochastic Processes

  • 章节

  • 发表日期：

    2026年

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  • Geon Ho Choe

摘要

In this chapter we introduce the Fourier transform of a stochastic process to be used in option pricing in Chap. 25 . Previously in Sect. 22.2 we used the Fourier transform of a probability density function for option pricing, and in this chapter and the next, we extend the idea to more general cases.