Efficient Options Pricing Using the Fast Fourier Transform
From MaRDI portal
Publication:3112474
DOI10.1007/978-3-642-17254-0_21zbMath1229.91342OpenAlexW3122281252MaRDI QIDQ3112474
Kwai Sun Leung, Yue Kuen Kwok, Hoi Ying Wong
Publication date: 10 January 2012
Published in: Handbook of Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-17254-0_21
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)
Related Items (12)
Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models ⋮ Valuation of correlation options under a stochastic interest rate model with regime switching ⋮ Unbiased Simulation of Distributions with Explicitly Known Integral Transforms ⋮ Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals ⋮ Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes ⋮ Error control of a numerical formula for the Fourier transform by Ooura's continuous Euler transform and fractional FFT ⋮ GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING ⋮ SIMPLIFIED HEDGE FOR PATH-DEPENDENT DERIVATIVES ⋮ A new method for fast computation of cumulative distribution functions by fractional FFT ⋮ Fast Multidimensional Convolution in Low-Rank Tensor Formats via Cross Approximation ⋮ Application of power series approximation techniques to valuation of European style options
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Fourier inversion formulas in option pricing and insurance
- A fast Fourier transform technique for pricing American options under stochastic volatility
- Analysis of Fourier Transform Valuation Formulas and Applications
- A Fourier Transform Method for Spread Option Pricing
- Fourier space time-stepping for option pricing with Lévy models
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- 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
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Option pricing when underlying stock returns are discontinuous
- American option pricing under GARCH by a Markov chain approximation
- Option pricing with stochastic volatility models.
This page was built for publication: Efficient Options Pricing Using the Fast Fourier Transform
