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Spread Option Valuation and the Fast Fourier Transform

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References

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2008Fourier space time-stepping for option pricing with Lévy models139 cited

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2013A General Closed-Form Spread Option Pricing Formula82 cited

2006Option pricing in a regime‐switching model using the fast Fourier transform77 cited

2011Closed Form Approximations for Spread Options45 cited

2011Efficient Options Pricing Using the Fast Fourier Transform45 cited

2004Introduction to Fast Fourier Transform in Finance42 cited

2010FFT based option pricing under a mean reverting process with stochastic volatility and jumps41 cited

2010Dynamic copula models for the spark spread39 cited

2007Fourier Space Time-Stepping for Option Pricing With Levy Models38 cited

2019Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate32 cited

2004Bivariate normal mixture spread option valuation32 cited

2016Additive subordination and its applications in finance29 cited

2014Pricing and Hedging of Derivatives in Contagious Markets27 cited

2010On the valuation of fader and discrete barrier options in Heston's stochastic volatility model26 cited