A Fourier Transform Method for Spread Option Pricing

T. R. Hurd; Zhuowei Zhou

doi:10.1137/090750421

A Fourier Transform Method for Spread Option Pricing

SIAM Journal on Financial Mathematics ◽

10.1137/090750421 ◽

2010 ◽

Vol 1 (1) ◽

pp. 142-157 ◽

Cited By ~ 94

Author(s):

T. R. Hurd ◽

Zhuowei Zhou

Keyword(s):

Fourier Transform ◽

Option Pricing ◽

Transform Method ◽

Fourier Transform Method ◽

Spread Option

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New Efficient Versions of Fourier Transform Method in Applications to Option Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.1846633 ◽

2011 ◽

Cited By ~ 12

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Fourier Transform ◽

Option Pricing ◽

Transform Method ◽

Fourier Transform Method

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Calculation of valence band structures of InAs/GaAs quantum ring and quantum dot: using numerical Fourier transform method

The Journal of China Universities of Posts and Telecommunications ◽

10.1016/s1005-8885(09)60433-7 ◽

2010 ◽

Vol 17 (1) ◽

pp. 106-110 ◽

Cited By ~ 1

Author(s):

Bo-yong JIA ◽

Zhong-yuan YU ◽

Yu-min LIU ◽

Hong-da TIAN

Keyword(s):

Fourier Transform ◽

Quantum Dot ◽

Valence Band ◽

Quantum Ring ◽

Band Structures ◽

Transform Method ◽

Fourier Transform Method

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Fourier Transform Method in Linear Viscoelastic Analysis: The Vibrating Viscoelastic Reed

Transactions of the Society of Rheology ◽

10.1122/1.549216 ◽

1971 ◽

Vol 15 (4) ◽

pp. 603-626 ◽

Cited By ~ 5

Author(s):

Phillip G. Wapner ◽

W. C. Forsman

Keyword(s):

Fourier Transform ◽

Transform Method ◽

Fourier Transform Method ◽

Viscoelastic Analysis ◽

Linear Viscoelastic

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Precise measurement technique of long period fiber grating sensors using Fourier transform method

10.1117/12.2265809 ◽

2017 ◽

Cited By ~ 1

Author(s):

Mayumi Nagatsuka ◽

Masayoshi Koizumi ◽

Satoshi Tanaka ◽

Atsushi Wada ◽

Nobuaki Takahashi

Keyword(s):

Fourier Transform ◽

Measurement Technique ◽

Precise Measurement ◽

Fiber Grating ◽

Transform Method ◽

Fourier Transform Method ◽

Long Period Fiber Grating ◽

Long Period ◽

Period Fiber Grating

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Fourier transform method for calculating the transmittance of inhomogeneous atmospheres

Applied Optics ◽

10.1364/ao.18.003426 ◽

1979 ◽

Vol 18 (20) ◽

pp. 3426 ◽

Cited By ~ 22

Author(s):

William G. Mankin

Keyword(s):

Fourier Transform ◽

Transform Method ◽

Fourier Transform Method

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Volume of interest-based fourier transform method for calculation of static magnetic field maps from susceptibility distributions

Magnetic Resonance in Medicine ◽

10.1002/mrm.25747 ◽

2015 ◽

Vol 75 (6) ◽

pp. 2473-2480 ◽

Cited By ~ 6

Author(s):

Rahul P. Dewal ◽

Qing X. Yang

Keyword(s):

Magnetic Field ◽

Fourier Transform ◽

Static Magnetic Field ◽

Transform Method ◽

Fourier Transform Method ◽

Volume Of Interest

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Numerical evaluation of molecular one- and two-electron multicenter integrals with exponential-type orbitals via the Fourier-transform method

Physical Review A ◽

10.1103/physreva.38.3857 ◽

1988 ◽

Vol 38 (8) ◽

pp. 3857-3876 ◽

Cited By ~ 71

Author(s):

J. Grotendorst ◽

E. O. Steinborn

Keyword(s):

Fourier Transform ◽

Exponential Type ◽

Numerical Evaluation ◽

Transform Method ◽

Fourier Transform Method ◽

Multicenter Integrals ◽

Exponential Type Orbitals ◽

The Fourier Transform

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Optical coherence calculations with the split-step fast Fourier transform method

Applied Optics ◽

10.1364/ao.25.002645 ◽

1986 ◽

Vol 25 (16) ◽

pp. 2645 ◽

Cited By ~ 7

Author(s):

Björn Hermansson ◽

David Yevick ◽

Ari T. Friberg

Keyword(s):

Fourier Transform ◽

Fast Fourier Transform ◽

Optical Coherence ◽

Transform Method ◽

Fourier Transform Method ◽

Fast Fourier Transform Method

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A Fourier Transform Method for Solving Backward Stochastic Differential Equations

Methodology And Computing In Applied Probability ◽

10.1007/s11009-021-09860-y ◽

2021 ◽

Author(s):

Yingming Ge ◽

Lingfei Li ◽

Gongqiu Zhang

Keyword(s):

Fourier Transform ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations ◽

Transform Method ◽

Fourier Transform Method

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Modified Fourier transform method for 3D profile measurement without phase unwrapping

Optics Letters ◽

10.1364/ol.35.000790 ◽

2010 ◽

Vol 35 (5) ◽

pp. 790 ◽

Cited By ~ 19

Author(s):

Yajun Wang ◽

Sheng Yang ◽

Xuyan Gou

Keyword(s):

Fourier Transform ◽

Phase Unwrapping ◽

Profile Measurement ◽

Transform Method ◽

Fourier Transform Method ◽

3D Profile

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