首页|期刊导航|西南交通大学学报（英文版）|Fast Fourier Transform Approximation of Foreign Currency Option Pricing Based on Exponential Lévy Model
西南交通大学学报（英文版）2007，Vol.15Issue(3)：261-270,10.
Fast Fourier Transform Approximation of Foreign Currency Option Pricing Based on Exponential Lévy Model
Fast Fourier Transform Approximation of Foreign Currency Option Pricing Based on Exponential Lévy Model
摘要
Abstract
To study the approximation of foreign currency option prices when the underlying assets'price dynamics are described by exponential Lévy processes, the convolution representations for option pricing formulas were given, and then the fast Fourier transform(FFT) algorithm was used to get the approximate values of option prices. Finally, a numerical example was given to demonstrate the calculate steps to the option price by FFT.关键词
Exponential Lévy model/Bilateral Laplace transformation/Measure change/Foreign currency options/Fast Fourier transformKey words
Exponential Lévy model/Bilateral Laplace transformation/Measure change/Foreign currency options/Fast Fourier transform分类
信息技术与安全科学引用本文复制引用
CHEN Xu,WAN Jian-ping..Fast Fourier Transform Approximation of Foreign Currency Option Pricing Based on Exponential Lévy Model[J].西南交通大学学报（英文版）,2007,15(3):261-270,10.基金项目
The National Natural Science Foundation of China (No.10571065) （No.10571065）
