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FFT Based Option Pricing

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Author Info
Szymon Borak
Kai Detlefsen
Wolfgang Härdle

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File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2005-011.pdf
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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2005-011.

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Length: 20 pages
Date of creation: Mar 2005
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Handle: RePEc:hum:wpaper:sfb649dp2005-011

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G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Enzo Giacomini & Wolfgang Härdle, 2005. "Value-at-Risk Calculations with Time Varying Copulae," SFB 649 Discussion Papers SFB649DP2005-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  2. Dirk Krueger & Harald Uhlig, 2005. "Competitive Risk Sharing Contracts with One-Sided Commitment," CFS Working Paper Series 2005/07, Center for Financial Studies. [Downloadable!]
    Other versions:
  3. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Wolfgang Härdle & Zdenek Hlavka, 2005. "Dynamics of State Price Densities," SFB 649 Discussion Papers SFB649DP2005-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  2. 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. [Downloadable!]
  3. Markus Fischer & Markus Reiss, 2005. "Discretisation of Stochastic Control Problems for Continuous Time Dynamics with Delay," SFB 649 Discussion Papers SFB649DP2005-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Dec 2005. [Downloadable!]
  4. Ajit Ghose, 2005. "Employment in China: Recent trends and future challenges," Employment strategy papers 2005-14, International Labour Office. [Downloadable!]
  5. Michal Benko & Wolfgang Härdle, 2005. "Common Functional Implied Volatility Analysis," SFB 649 Discussion Papers SFB649DP2005-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  6. Michal Benko & Alois Kneip, 2005. "Common functional component modelling," SFB 649 Discussion Papers SFB649DP2005-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  7. María Echart, 2003. "Educación universitaria Aportes para el debate acerca de su efectividad y equidad," Working Papers 79, FIEL. [Downloadable!]
  8. Francesco Daveri & Cecilia Jona-Lasinio, . "Italy’s Decline: Getting the Facts Right," Working Papers 301, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    Other versions:
  9. Benjamin Bental & Dominique Demougin, 2005. "Do Factor Shares Reflect Technology?," SFB 649 Discussion Papers SFB649DP2005-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  10. Anja Schöttner, 2005. "Relational Contracts and Job Design," SFB 649 Discussion Papers SFB649DP2005-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  11. Yasemin Boztug & Lutz Hildebrandt, 2005. "An empirical test of theories of price valuation using a semiparametric approach, reference prices, and accounting for heterogeneity," SFB 649 Discussion Papers SFB649DP2005-057, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  12. Markus Krätzig, 2005. "A Software Framework for Data Based Analysis," SFB 649 Discussion Papers SFB649DP2005-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  13. Christian Weiner, 2005. "The Impact of Industry Classification Schemes on Financial Research," SFB 649 Discussion Papers SFB649DP2005-062, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  14. Markus Fischer & Peter Imkeller, 2005. "A two state model for noise-induced resonance in bistable systems with delay," SFB 649 Discussion Papers SFB649DP2005-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  15. Andreas Schabert & Christian Stoltenberg, 2005. "Money Demand and Macroeconomic Stability Revisited," SFB 649 Discussion Papers SFB649DP2005-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2005. [Downloadable!]
    Other versions:
  16. Wolfgang Härdle & Seok-Oh Jeong, 2005. "Nonparametric Productivity Analysis," SFB 649 Discussion Papers SFB649DP2005-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  17. Yasemin Boztug & Lutz Hildebrandt, 2005. "A Market Basket Analysis Conducted with a Multivariate Logit Model," SFB 649 Discussion Papers SFB649DP2005-028, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  18. Astrid Matthey, 2005. "Getting Used to Risks: Reference Dependence and Risk Inclusion," SFB 649 Discussion Papers SFB649DP2005-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  19. Wolfgang Härdle & Sigbert Klinke & Uwe Ziegenhagen, 2005. "Integrable e-lements for Statistics Education," SFB 649 Discussion Papers SFB649DP2005-058, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  20. Imen Bentahar & Bruno Bouchard, 2005. "Explicit characterization of the super-replication strategy in financial markets with partial transaction costs," SFB 649 Discussion Papers SFB649DP2005-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  21. Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2005. "Portfolio Value at Risk Based on Independent Components Analysis," SFB 649 Discussion Papers SFB649DP2005-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  22. Anja Schöttner, 2005. "Fixed-Prize Tournaments versus First-Price Auctions in Innovation Contests," SFB 649 Discussion Papers SFB649DP2005-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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