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


The Fast Fourier Transformation for Option Pricing

Masterarbeit Wirtschaftsmathematik

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



In this thesis we discuss ...


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


  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.

University of Wuppertal
Faculty of Mathematics and Natural Sciences
Department of Mathematics
Applied Mathematics & Numerical Analysis Group

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