Pricing extendible options using the fast Fourier transform

DOI10.1155/2014/831470MaRDI QIDQ1719223zbMATH OpenOpenAlexWikidataFDO

Authors Siti Nur Iqmal Ibrahim, John O'Hara, Nick Constantinou

Publication date 8 February 2019

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/831470

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1724307 (Why is no real title available?)
• A Fourier-based valuation method for Bermudan and barrier options under Heston's model
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk
• An Algorithm for the Machine Calculation of Complex Fourier Series
• Analysis of Fourier transform valuation formulas and applications
• Approximate Integration of Stochastic Differential Equations
• FFT based option pricing under a mean reverting process with stochastic volatility and jumps
• Fast Fourier transform based power option pricing with stochastic interest rate, volatility, and jump intensity
• Fourier transform methods in finance.
• Numerical solution of stochastic differential equations with jumps in finance
• The compound option approach to American options on jump-diffusions
• The pricing of options and corporate liabilities

Cited in

(21)

• Lookback option pricing using the Fourier transform B-spline method
• Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
• Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach
• Pricing extendible options under a jump-fraction process
• Fourier transform of lookback option price
• Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
• Option valuation, time-changed processes and the fast Fourier transform
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
• Efficient options pricing using the fast Fourier transform
• Pricing two-asset rainbow options with the fast Fourier transform
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
• scientific article; zbMATH DE number 1724307 (Why is no real title available?)
• A SIMPLE AMERICAN OPTION PRICING METHOD USING THE FAST FOURIER TRANSFORM
• Performance evaluation of a multithreaded fast Fourier transform algorithm for derivative pricing
• scientific article; zbMATH DE number 7366185 (Why is no real title available?)
• A fast algorithm for computing integrals in function spaces: Financial applications
• Option pricing in a regime-switching model using the fast Fourier transform
• ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
• Computational Science and Its Applications – ICCSA 2004
• Z-Transform and preconditioning techniques for option pricing

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