Fourier transform of lookback option price (Q420203): Difference between revisions
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| Property / author: Cheng Wang / rank | |||
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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. | |||
| Property / review text: 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. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65T50 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6037020 / rank | |||
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| Property / zbMATH Keywords | |||
fast Fourier transform | |||
| Property / zbMATH Keywords: fast Fourier transform / rank | |||
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| Property / zbMATH Keywords | |||
Monte Carlo methods | |||
| Property / zbMATH Keywords: Monte Carlo methods / rank | |||
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Revision as of 21:30, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fourier transform of lookback option price |
scientific article |
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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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