Option pricing in Variance Gamms model by Fourier Integration [Octave Excel]

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Option pricing in Variance Gamms model by Fourier Integration
Submitter: vanna	Date: 2007/3/31

Description: Finds option price using integration of inverse fourier transform of fourier transform function of modified call option price as described in Carr,Madan,et al papers Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
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