Journal article
Fast Fourier transform technique for the European option pricing with double jumps
International journal of physical sciences, Vol.7(2), pp.256-261
01/09/2012
DOI: 10.5897/IJPS11.1631
Abstract
In this paper, we provided a fast algorithm for pricing European options under a double exponential jump-diffusion model based on Fourier transform. We derived a closed-form (CF) representation of the characteristic function of the model. By using fast Fourier transform (FFT) technique, we obtained an approximation numerical solution for the prices of European call options. Our numerical results show that our method is fast, accurate and easy to implement. The proposed option pricing method is useful for empirical analysis of asset returns and managing the corporate credit risks.
Details
- Title: Subtitle
- Fast Fourier transform technique for the European option pricing with double jumps
- Creators
- Sumei ZhangLihe Wang - Mathematics
- Resource Type
- Journal article
- Publication Details
- International journal of physical sciences, Vol.7(2), pp.256-261
- DOI
- 10.5897/IJPS11.1631
- ISSN
- 1992-1950
- eISSN
- 1992-1950
- Language
- English
- Date published
- 01/09/2012
- Academic Unit
- Mathematics
- Record Identifier
- 9984240878902771
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