Fast Fourier transform technique for the European option pricing with double jumps

Sumei Zhang

doi:10.5897/ijps11.1631

Fast Fourier transform technique for the European option pricing with double jumps

International Journal of the Physical Sciences ◽

10.5897/ijps11.1631 ◽

2012 ◽

Vol 7 (2) ◽

Author(s):

Sumei Zhang

Keyword(s):

Fourier Transform ◽

Option Pricing ◽

Fast Fourier Transform ◽

European Option ◽

European Option Pricing

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European Option Pricing With a Fast Fourier Transform Algorithm for Big Data Analysis

IEEE Transactions on Industrial Informatics ◽

10.1109/tii.2015.2500885 ◽

2016 ◽

Vol 12 (3) ◽

pp. 1219-1231 ◽

Cited By ~ 12

Author(s):

Shuang Xiao ◽

Shi-Hua Ma ◽

Guo Li ◽

Samar K. Mukhopadhyay

Keyword(s):

Big Data ◽

Fourier Transform ◽

Data Analysis ◽

Option Pricing ◽

Fast Fourier Transform ◽

Big Data Analysis ◽

Fast Fourier Transform Algorithm ◽

European Option ◽

European Option Pricing

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EUROPEAN OPTION PRICING WITH STOCHASTIC VOLATILITY AND JUMPS: COMPARISON OF MONTE CARLO AND FAST FOURIER TRANSFORM METHODS

2018 Winter Simulation Conference (WSC) ◽

10.1109/wsc.2018.8632313 ◽

2018 ◽

Author(s):

Uro Lyi ◽

Michael C. Fu

Keyword(s):

Monte Carlo ◽

Fourier Transform ◽

Option Pricing ◽

Fast Fourier Transform ◽

Stochastic Volatility ◽

European Option ◽

Transform Methods ◽

European Option Pricing ◽

Fourier Transform Methods

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Fast Fourier Transform and Option Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.1098367 ◽

2008 ◽

Author(s):

Ales Cerny

Keyword(s):

Fourier Transform ◽

Option Pricing ◽

Fast Fourier Transform

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A fractional Black-Scholes model with stochastic volatility and European option pricing

Expert Systems with Applications ◽

10.1016/j.eswa.2021.114983 ◽

2021 ◽

Vol 178 ◽

pp. 114983

Author(s):

Xin-Jiang He ◽

Sha Lin

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

European Option ◽

European Option Pricing ◽

Black Scholes Model ◽

Black Scholes

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European Option Pricing Problems with Fractional Uncertain Processes

Chaos Solitons & Fractals ◽

10.1016/j.chaos.2020.110606 ◽

2021 ◽

Vol 143 ◽

pp. 110606

Author(s):

Gang Shi ◽

Jinwu Gao

Keyword(s):

Option Pricing ◽

European Option ◽

European Option Pricing ◽

Pricing Problems

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Fast Fourier Transform for Option Pricing: Improved Mathematical Modeling and Design of Efficient Parallel Algorithm

Computational Science and Its Applications – ICCSA 2004 - Lecture Notes in Computer Science ◽

10.1007/978-3-540-24767-8_72 ◽

2004 ◽

pp. 686-695 ◽

Cited By ~ 3

Author(s):

Sajib Barua ◽

Ruppa K. Thulasiram ◽

Parimala Thulasiraman

Keyword(s):

Mathematical Modeling ◽

Fourier Transform ◽

Option Pricing ◽

Fast Fourier Transform ◽

Parallel Algorithm

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European option pricing problem with transaction costs in q-Gaussian process model

Applied Mathematical Sciences ◽

10.12988/ams.2021.914520 ◽

2021 ◽

Vol 15 (8) ◽

pp. 385-392

Author(s):

Li-Min Liu ◽

Yu-Lei Yan

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Gaussian Process ◽

Process Model ◽

European Option ◽

Gaussian Process Model ◽

European Option Pricing

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European option pricing by using a mixed fractional Brownian motion

Journal of Physics Conference Series ◽

10.1088/1742-6596/1097/1/012081 ◽

2018 ◽

Vol 1097 ◽

pp. 012081 ◽

Cited By ~ 1

Author(s):

C E Murwaningtyas ◽

S H Kartiko ◽

Gunardi ◽

H P Suryawan

Keyword(s):

Brownian Motion ◽

Option Pricing ◽

Fractional Brownian Motion ◽

European Option ◽

European Option Pricing ◽

Mixed Fractional Brownian Motion

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European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates

Journal of Mathematical Finance ◽

10.4236/jmf.2011.13013 ◽

2011 ◽

Vol 01 (03) ◽

pp. 98-108 ◽

Cited By ~ 2

Author(s):

Sarisa Pinkham ◽

Pairote Sattayatham

Keyword(s):

Option Pricing ◽

Interest Rates ◽

Stochastic Volatility ◽

European Option ◽

Stochastic Interest Rates ◽

European Option Pricing ◽

Stochastic Interest

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Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks

Novel Methods in Computational Finance - Mathematics in Industry ◽

10.1007/978-3-319-61282-9_13 ◽

2017 ◽

pp. 243-251

Author(s):

Walter Mudzimbabwe ◽

Lubin Vulkov

Keyword(s):

Option Pricing ◽

European Option ◽

Liquidity Shocks ◽

European Option Pricing ◽

Explicit Schemes

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