Option valuation, time-changed processes and the fast Fourier transform

DOI10.1080/14697680701207456MaRDI QIDQ3498557zbMATH OpenOpenAlexFDO

Authors Oscar Gutiérrez

Publication date 15 May 2008

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680701207456

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• Asset prices are Brownian motion: Only in business time
• Option Pricing With V. G. Martingale Components¹
• Processes of normal inverse Gaussian type
• The Variance Gamma Process and Option Pricing
• Time changes for Lévy processes

Cited in

(7)

• A general framework for time-changed Markov processes and applications
• Option valuation by using discrete singular convolution
• Z-Transform and preconditioning techniques for option pricing
• Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
• Laplace transform approach to option pricing for time-changed Brownian models

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