Fourier transform of lookback option price

DOI10.5402/2011/518172zbMath1238.91145OpenAlexW2061972219WikidataQ58689606 ScholiaQ58689606MaRDI QIDQ420203

Hailei Zou, Cheng Wang, Jun Cheng Yin

Publication date: 21 May 2012

Published in: ISRN Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5402/2011/518172

zbMATH Keywords

fast Fourier transformMonte Carlo methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical methods for discrete and fast Fourier transforms (65T50) Portfolio theory (91G10)

Cites Work

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• Computing exponential moments of the discrete maximum of a Lévy process and lookback options
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

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