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Option Pricing Using Fourier Transforms: A Numerically Efficient Simplification · Study

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PreprintOption Pricing Using Fourier Transforms: A Numerically Efficient Simplification

Mukarram Attari2004

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Preprintgreen2004

Option Pricing Using Fourier Transforms: A Numerically Efficient Simplification

Mukarram Attari

46 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1999Option valuation using the fast Fourier transform 1997Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods 1993Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options 1999Integrated Time-Series Analysis of Spot and Option Prices

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2011Accelerating the Calibration of Stochastic Volatility Models

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2004Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processesarticle · 6 shared references 2003Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatilitypreprint · 6 shared references 2013Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensityarticle · 6 shared references 2013Inverting Analytic Characteristic Functions and Financial Applicationsarticle · 6 shared references 2005Modeling Financial Security Returns Using Levy Processespreprint · 6 shared references 2003Time-changed Lévy processes and option pricingarticle · 5 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations46

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.520042

openalex_workW107956756

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