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Spread Option Valuation and the Fast Fourier Transform · Study

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ChapterSpread Option Valuation and the Fast Fourier Transform

M. A. H. Dempster2002

Chapter2002

Spread Option Valuation and the Fast Fourier Transform

M. A. H. Dempster · S. S. G. Hong

146 citations·0/0 files stored·Springer finance

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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 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1996Real Options: Managerial Flexibility and Strategy in Resource Allocation 1999Option valuation using the fast Fourier transform 1998The Variance Gamma Process and Option Pricing 1996Real options: Managerial flexibility and strategy in resource allocation 1997Processes of normal inverse Gaussian type

Cited by

2008Fourier space time-stepping for option pricing with Lévy models 2013A General Closed-Form Spread Option Pricing Formula 2006Option pricing in a regime‐switching model using the fast Fourier transform 2011Closed Form Approximations for Spread Options 2011Efficient Options Pricing Using the Fast Fourier Transform 2004

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2005Modeling Financial Security Returns Using Levy Processespreprint · 8 shared references 2003Time-changed Lévy processes and option pricingarticle · 7 shared references 2004Option pricing by transform methods: extensions, unification and error controlarticle · 7 shared references 2004Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processesarticle · 7 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 7 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 7 shared references

Details

Year2002

Typechapter

Published2002-01-01

VenueSpringer finance

ISSN-L1616-0533

Languageen

Citations146

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-662-12429-1_10

openalex_workW1576907413

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Introduction to Fast Fourier Transform in Finance

2010FFT based option pricing under a mean reverting process with stochastic volatility and jumps

2010Dynamic copula models for the spark spread