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A Fourier Transform Method for Spread Option Pricing

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References

1999Option valuation using the fast Fourier transform2,155 cited
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2008A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes249 cited

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2015General closed-form basket option pricing bounds54 cited
2015Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration50 cited
2011Closed Form Approximations for Spread Options45 cited
2011Efficient Options Pricing Using the Fast Fourier Transform

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2012The Sum and Difference of Two Lognormal Random Variables44 cited

2012FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS41 cited

2012THE AFFINE LIBOR MODELS39 cited

2014A Lévy HJM multiple-curve model with application to CVA computation36 cited

2016Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality36 cited

2013Fourier-Based Valuation Methods in Mathematical Finance36 cited

2011A New Spectral Element Method for Pricing European Options Under the Black–Scholes and Merton Jump Diffusion Models32 cited

2016From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options31 cited