Option Pricing using the Fast Fourier Transform Method

Option Pricing using the Fast Fourier Transform Method

The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineering, it has become attractive in Finance as well for it’s enhancement of computational speed. Carr and Madan succeeded in implementing the FFT for pricing of an option. This project, inspired by Carr a...

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Bibliographic Details
Main Author: Berta, Abaynesh
Format: Others
Language:English
Published: Mälardalens högskola, Akademin för utbildning, kultur och kommunikation 2020
Subjects:
Black-Scholes-Merton model
Characteristic function
Fast Fourier transform
Fourier/Inverse Fourier transform
Option pricing
Computational Mathematics
Beräkningsmatematik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-51058

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-51058

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