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Option Pricing Using Fourier Transforms: A Numerically Efficient Simplification

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
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1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
1999Option valuation using the fast Fourier transform2,155 cited
1997Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods389 cited
1993Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options303 cited
1999Integrated Time-Series Analysis of Spot and Option Prices48 cited

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2011Accelerating the Calibration of Stochastic Volatility Models36 cited

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