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Fast pricing of European options

In: Non-Gaussian Merton-Black-Scholes Theory

Author

Listed:
  • Svetlana I. Boyarchenko

    (University of Texas at Austin, USA)

  • Sergei Z. Levendorskiĭ

    (Rostov State University of Economics, Russia)

Abstract

The following sections are included:IntroductionTransformation of the pricing formula for the European putFFT and IACFast Fourier TransformIntegration-along-cut methodCase a)Case b)Comparison of FFT and IAC

Suggested Citation

  • Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Fast pricing of European options," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 12, pages 255-266, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812777485_0012
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