FFT-based option pricing

Statistical Tools for Finance and Insurance

Volumn , Issue , 2005, Pages 183-200

  Borak, Szymon ^a   Detlefsen, Kai ^a   Härdle, Wolfgang ^a  

^a HUMBOLDT UNIVERSITY   (Germany)

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Indexed keywords

EID: 76849099905     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1007/3-540-27395-6_8     Document Type: Chapter

References (14)

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3. Ćižkov́a, L. (2003). Numerical Optimization Methods in Econometrics, in J. M. Rodriguez Poo (ed.) Computer-Aided Introduction to Econometrics, Springer-Verlag, Berlin.
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8. Heston, S. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options, Review of Financial Studies 6:327-343.
9. Hull, J. and White, A. (1987). The pricing of Options on Assets with Stochastic Volatilities, Journal of Finance 42:281-300.
10. Lee, R. (2004). Option pricing by transform methods: extensions, unification and error control, Journal of Computational Finance 7.
11. Merton, R. (1976). Option pricing when underlying stock returns are discontinuous, J. Financial Economics 3:125-144.
12. Rudin, W. (1991). Functional Analysis, McGrawHill.
13. Schoutens, W., Simons, E., and Tistaert, J. (2003). A Perfect Calibration! Now What? UCS Technical Report, Catholic University Leuven.
14. Stein, E. and Stein, J. (1991). Stock price distribution with stochastic volatility: An analytic approach, Review of Financial Studies 4:727-752.