Bergische Universität Wuppertal Fachbereich Mathematik und Naturwissenschaften Angewandte Mathematik - Numerische Analysis

People Research Publications Teaching

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The Fast Fourier Transformation for Option Pricing

Masterarbeit Wirtschaftsmathematik

Master's Thesis in Financial Mathematics, Halmstad University, Sweden

Supervision

• Prof. Dr. Matthias Ehrhardt

Description

In this thesis we discuss ...

Keywords

Option Pricing, Fast Fourier Transformation (FFT), partial integro differential equation (PIDE)

References:

1. P. Carr and D. Madan, Option valuation using the Fast Fourier Transform, J. Comput. Finance 2 (1999), 61-73.
2. F. Fang and C.W. Oosterlee, A novel pricing method for european options based on fourier-cosine series expansions, SIAM J. Sci. Comput. 31 (2008), 826-848.
3. F. Fang and C.W. Oosterlee, Pricing early-exercise and discrete barrier options by fourier-cosine series expansions, Numerische Mathematik 114 (2009), 27-62.
4. R. Lord, F. Fang, F. Bervoets and C.W. Oosterlee, A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes, SIAM J. Sci. Comput. 30 (2008), 1678-1705.
5. R. Lord and C. Kahl, Optimal Fourier inversion in semi-analytical option pricing, J. Comput. Finance 10 (2007), 1-30.
6. O. Zhylyevskyy, A fast Fourier transform technique for pricing American options under stochastic volatility, Review of Derivatives Research 13 (2010), 1-24.