Pricing two-asset rainbow options with the fast Fourier transform

DOI10.37920/SASJ.2023.57.1.2zbMath1524.91143MaRDI QIDQ6112085

Eben Maré, Unnamed Author

Publication date: 7 July 2023

Published in: South African Statistical Journal (Search for Journal in Brave)

zbMATH Keywords

fast Fourier transformcharacteristic functionrainbow optionthree-factor stochastic volatilitytwo-factor geometric Brownian motion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Cites Work

• Unnamed Item
• Making the best of best-of
• 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
• Empirical properties of asset returns: stylized facts and statistical issues
• Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
• An Algorithm for the Machine Calculation of Complex Fourier Series

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