Pricing parabola options using Fourier transform
نویسندگان
چکیده
منابع مشابه
Efficient Options Pricing Using the Fast Fourier Transform
We review the commonly used numerical algorithms for option pricing under Levy process via Fast Fourier transform (FFT) calculations. By treating option price analogous to a probability density function, option prices across the whole spectrum of strikes can be obtained via FFT calculations. We also show how the property of the Fourier transform of a convolution product can be used to value var...
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ژورنال
عنوان ژورنال: Zeszyty Naukowe Uniwersytetu Szczecińskiego Finanse Rynki Finansowe Ubezpieczenia
سال: 2018
ISSN: 2450-7741,2300-4460
DOI: 10.18276/frfu.2018.92-26