Efficient Options Pricing Using the Fast Fourier Transform

DOI10.1007/978-3-642-17254-0_21zbMath1229.91342OpenAlexW3122281252MaRDI QIDQ3112474

Kwai Sun Leung, Yue Kuen Kwok, 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 (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (12)

Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models ⋮ Valuation of correlation options under a stochastic interest rate model with regime switching ⋮ Unbiased Simulation of Distributions with Explicitly Known Integral Transforms ⋮ Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals ⋮ Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes ⋮ 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 ⋮ A new method for fast computation of cumulative distribution functions by fractional FFT ⋮ Fast Multidimensional Convolution in Low-Rank Tensor Formats via Cross Approximation ⋮ Application of power series approximation techniques to valuation of European style options

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• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing when underlying stock returns are discontinuous
• American option pricing under GARCH by a Markov chain approximation
• Option pricing with stochastic volatility models.

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