Using the Fast Fourier Transform and Monte Carlo Integration for Pricing Options
نویسندگان
چکیده
The purpose of this article is to present a new Fast Fourier Transform approach to finding option prices with respect to a given objective density of the underlying asset, and a Stochastic Discount Factor. This is compared to a Monte Carlo approach and shown to be a more general approach which can often evaluate prices more quickly in many cases. However it does come with some computational issues, and these are discussed.
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