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

zbMATH Open1150.91353MaRDI QIDQ3513243FDOQ3513243

Authors: Xu Chen, Jianping Wan 

Publication date: 6 August 2008

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zbMATH Keywords

fast Fourier transformmeasure changebilateral Laplace transformationforeign currency optionsexponential Levy model

Mathematics Subject Classification ID

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

Cited In (5)

• Integro-differential equations for foreign currency option prices in exponential Lévy models
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
• A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• Title not available (Why is that?)

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