Efficient Option Pricing by Frame Duality with the Fast Fourier Transform

DOI10.1137/140989480zbMath1320.91155OpenAlexW3123264247MaRDI QIDQ2941478

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Publication date: 28 August 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140989480

zbMATH Keywords

Lévy processesoption pricingfast Fourier transformcalibrationbasisEuropean optionsHeston modelCOS methodefficientCGMY modelgeometric Asian optionframe projection

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)

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Uses Software

• PROJ_Option_Pricing_Matlab

Cites Work

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• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• A basis theory primer.
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Processes of normal inverse Gaussian type
• Peaks and jumps reconstruction with \(B\)-splines scaling functions
• Robust Pricing of European Options with Wavelets and the Characteristic Function
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• On the approximation power of convolution-based least squares versus interpolation
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Financial Modelling with Jump Processes
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An introduction to frames and Riesz bases

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