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FFT Based Option Pricing

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  • Szymon Borak
  • Kai Detlefsen
  • Wolfgang Härdle

Abstract

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Suggested Citation

  • Szymon Borak & Kai Detlefsen & Wolfgang Härdle, 2005. "FFT Based Option Pricing," SFB 649 Discussion Papers SFB649DP2005-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    • Handle: RePEc:hum:wpaper:sfb649dp2005-011
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    File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2005-011.pdf
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    References listed on IDEAS

    as
    1. Stein, Elias M & Stein, Jeremy C, 1991. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 727-752.
    2. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," HSC Research Reports HSC/10/02, Hugo Steinhaus Center, Wroclaw University of Technology.
    2. A S Hurn & Kenenth A Lindsay & Andrew McClelland, 2013. "On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options," NCER Working Paper Series 90, National Centre for Econometric Research.
    3. Emmanuel Hanert & Aanand Venkatramanan, 2008. "Meshfree Approximation for Multi-Asset Options," ICMA Centre Discussion Papers in Finance icma-dp2009-07, Henley Business School, University of Reading, revised Jun 2009.
    4. Sigbert Klinke & Uwe Ziegenhagen & Yuval Guri, 2005. "Yxilon – a Modular Open-Source Statistical Programming Language," SFB 649 Discussion Papers SFB649DP2005-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Horacio Alberto Ruiz Olvera, 2011. "Valuación de opciones europeas mediante procesos de Lévy exponenciales y transformada rápida de Fourier," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 6(2), pages 16-33.
    6. Srikanth Iyer & Seema Nanda & Swapnil Kumar, 2013. "An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 243-259, September.
    7. Chen, Ying & Härdle, Wolfgang & Spokoiny, Vladimir, 2010. "GHICA -- Risk analysis with GH distributions and independent components," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 255-269, March.
    8. repec:qut:auncer:2013_02 is not listed on IDEAS

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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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