We apply a new numerical method, the singular Fourier-Pade (SFP) method invented by Driscoll and Fornberg (2001, 2011), to price European-type options in Levy and affine processes. The motivation behind this application is to reduce the ineffciency of current Fourier techniques when they are...

The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices....