Pricing extendible options using the fast Fourier transform

DOI10.1155/2014/831470zbMath1407.91272OpenAlexW2125993011WikidataQ59069726 ScholiaQ59069726MaRDI QIDQ1719223

John G. O'Hara, Siti Nur Iqmal Ibrahim, Nick Constantinou

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/831470

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (3)

Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY ⋮ Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations

Cites Work

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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

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