ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM

DOI10.1142/S0219024919500237zbMath1422.91761OpenAlexW2951935720WikidataQ127657597 ScholiaQ127657597MaRDI QIDQ5234011

Mesias Alfeus, Erik Schlögl

Publication date: 9 September 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500237

zbMATH Keywords

Fourier transformnumerical methodsspread optionsFFTWtwo-dimensional Parseval's identity

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 (4)

Pricing and hedging for correlation options with regime switching and common jump risk ⋮ Representation of exchange option prices under stochastic volatility jump-diffusion dynamics ⋮ ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM ⋮ Pricing of spread and exchange options in a rough jump-diffusion market

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Interest rate models -- theory and practice. With smile, inflation and credit
• A multicurrency extension of the lognormal interest rate market models
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• Analysis of Fourier Transform Valuation Formulas and Applications
• A Theory of the Term Structure of Interest Rates
• A Fourier Transform Method for Spread Option Pricing
• ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM

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