Hilbert transform, spectral filters and option pricing
نویسندگان
چکیده
منابع مشابه
Option Pricing Using Bayes Filters
When using Black-Scholes formula to price options, the key is the estimation of the stochastic return variance. In this paper we discuss an approach based on Bayes filters which combines the GARCH model and the implied volatilities. Empirical experiments demonstrate the better pricing accuracy of this approach. Furthermore, we show that we can re-estimate the parameters of the dynamics system u...
متن کاملOn the application of spectral filters in a Fourier option pricing technique
When Fourier techniques are employed to specific option pricing cases from computational finance with non-smooth functions, the so-called Gibbs phenomenon may become apparent. This seriously impacts the efficiency and accuracy of the pricing. For example, the Variance Gamma asset price process gives rise to algebraically decaying Fourier coefficients, resulting in a slowly converging Fourier se...
متن کاملOption Pricing by Transform Methods: Extensions, Unification, and Error Control
The published version, in Journal of Computational Finance (2004) 7(3):51–86, has the following errata. The online version, at http://math.uchicago.edu/∼rl/dft.pdf, includes all the corrections. 1. Appendix A.2: The description of the locations of a± assumes that κ−ρσ > 0. 2. Equation (6.3) and the last equation of the proof: Replace each N∆ with (N +1/2)∆. (The N∆ is valid, but (N +1/2)∆ is st...
متن کاملA Fourier Transform Method for Spread Option Pricing
Spread options are a fundamental class of derivative contracts written on multiple assets and are widely traded in a range of financial markets. There is a long history of approximation methods for computing such products, but as yet there is no preferred approach that is accurate, efficient, and flexible enough to apply in general asset models. The present paper introduces a new formula for ge...
متن کاملApplication of the Fast Gauss Transform to Option Pricing
In many of the numerical methods for pricing American options based on the dynamic programming approach, the most computationally intensive part can be formulated as the summation of Gaussians. Though this operation usually requires O NN ′ work when there are N ′ summations to compute and the number of terms appearing in each summation is N , we can reduce the amount of work to O N +N ′ by usin...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2018
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-018-2881-4