Option pricing using the fractional FFT

Option Pricing Using the Fractional Fft

This paper shows how the recently developed fractional fft algorithm (frft) can be used to retrieve option prices from the corresponding characteristic functions. The frft algorithm has the advantage of using the characteristic function information in a more efficient way than the straight fft. Therefore less function evaluations are typically needed and substantial savings in computational tim...

FFT Based Option Pricing

Option pricing with fractional volatility

Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.

Numerical Solutions for Fractional Black-Scholes Option Pricing Equation

In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.

Option Pricing via the FFT and its Application to Calibration