Fourier transform of lookback option price (Q420203): Difference between revisions
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| Property / cites work: A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes / rank | |||
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| Property / cites work: Computing exponential moments of the discrete maximum of a Lévy process and lookback options / rank | |||
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Latest revision as of 06:44, 5 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fourier transform of lookback option price |
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Fourier transform of lookback option price (English)
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21 May 2012
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Summary: The Fourier transform of the damped price of Lookback option under B-S model is presented. Thus, the Lookback option across a range of strikes can be simultaneously priced via FFT algorithm. FFT algorithm is more efficient than both Monte Carlo simulation method and the integral of the usual pricing formula. In addition, by FFT algorithm, investors can easily capture the sensitivity of option prices when the strike prices vary as to make reasonable investment decisions.
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fast Fourier transform
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Monte Carlo methods
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