Fast Fourier transform approximation of foreign currency option pricing based on exponential Levy model

MaRDI QIDQ3513243zbMATH OpenFDO

Authors Xu Chen, Jianping Wan

Publication date 6 August 2008

zbMATH Keywords

fast Fourier transformmeasure changebilateral Laplace transformationforeign currency optionsexponential Levy model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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(5)

• Integro-differential equations for foreign currency option prices in exponential Lévy models
• A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• scientific article; zbMATH DE number 7366185 (Why is no real title available?)

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