Speed and biases of Fourier-based pricing choices: a numerical analysis

DOI10.1080/00207160.2017.1322691zbMath1499.30305arXiv1706.05935OpenAlexW3105957718MaRDI QIDQ5028604

Ricardo Crisóstomo

Publication date: 10 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.05935

zbMATH Keywords

Fourier transformsoption pricingjump processespricing errorsspeed comparisons

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Approximation in the complex plane (30E10) Numerical methods for discrete and fast Fourier transforms (65T50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (1)

Application of power series approximation techniques to valuation of European style options

Uses Software

• BENCHOP

Cites Work

• Unnamed Item
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• COMPLETELY AND PARTIALLY INTEGRABLE HAMILTONIAN SYSTEMS IN THE NONCOMPACT CASE
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• The Variance Gamma Process and Option Pricing
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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