Efficient options pricing using the fast Fourier transform

DOI10.1007/978-3-642-17254-0_21MaRDI QIDQ3112474zbMATH OpenOpenAlexFDO

Authors Yue Kuen Kwok, Kwai Sun Leung, Hoi Ying Wong

Publication date 10 January 2012

Published in Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-17254-0_21

Mathematics Subject Classification ID

Numerical methods for discrete and fast Fourier transforms (65T50) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• A fast Fourier transform technique for pricing American options under stochastic volatility
• A Fourier transform method for spread option pricing
• American option pricing under GARCH by a Markov chain approximation
• Analysis of Fourier transform valuation formulas and applications
• Financial Modelling with Jump Processes
• Fourier inversion formulas in option pricing and insurance
• Fourier space time-stepping for option pricing with Lévy models
• scientific article; zbMATH DE number 1724307 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Option pricing when underlying stock returns are discontinuous
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• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(31)

• Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
• FFT network for interest rate derivatives with Lévy processes
• Valuation of correlation options under a stochastic interest rate model with regime switching
• Pricing extendible options using the fast Fourier transform
• FFT-network for bivariate Lévy option pricing
• Pricing American options by a Fourier transform multinomial tree in a conic market
• Error control of a numerical formula for the Fourier transform by Ooura's continuous Euler transform and fractional FFT
• Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
• Simplified hedge for path-dependent derivatives
• Z-Transform and preconditioning techniques for option pricing
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
• Unbiased simulation of distributions with explicitly known integral transforms
• Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
• A new method for fast computation of cumulative distribution functions by fractional FFT
• Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models
• A SIMPLE AMERICAN OPTION PRICING METHOD USING THE FAST FOURIER TRANSFORM
• Option valuation, time-changed processes and the fast Fourier transform
• Fast Fourier transform approximation of foreign currency option pricing based on exponential Levy model
• Fourier space time-stepping for option pricing with Lévy models
• Fourier transform of lookback option price
• Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
• Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
• scientific article; zbMATH DE number 7366185 (Why is no real title available?)
• Application of power series approximation techniques to valuation of European style options
• Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models
• An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
• ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM
• Lookback option pricing using the Fourier transform B-spline method
• Fast multidimensional convolution in low-rank tensor formats via cross approximation
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• Option pricing with exchange rate risk under regime-switching multi-scale jump-diffusion models

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