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Efficient Option Pricing Methods Based on Fourier Series Expansions
Deng DING; Sio Chong U
2011
Source PublicationJournal of Mathematical Research & Exposition
ISSN1000-341X
Volume31Issue:1Pages:12-22
Abstract

A novel option pricing method based on Fourier-cosine series expansion was proposed by Fang and Oosterlee. Developing their idea, three new option pricing methods based on Fourier, Fourier-cosine and Fourier-sine series expansions are presented in this paper, which are more efficient when the option prices are calculated with many strike prices. A series of numerical experiments under different exp-L´evy models are also given to compare these new methods with the Fang and Oosterlee’s method and other methods

KeywordOption Pricing L´evy Process Fourier Transform Fourier Expansions
DOIhttps://dx.doi.org/10.3770/j.issn:1000-341X.2011.01.002
Language英語English
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Document TypeJournal article
CollectionFaculty of Science and Technology
DEPARTMENT OF MATHEMATICS
Corresponding AuthorDeng DING
AffiliationDepartment of Mathematics, University of Macau, Macao, P. R. China
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Deng DING,Sio Chong U. Efficient Option Pricing Methods Based on Fourier Series Expansions[J]. Journal of Mathematical Research & Exposition,2011,31(1):12-22.
APA Deng DING,&Sio Chong U.(2011).Efficient Option Pricing Methods Based on Fourier Series Expansions.Journal of Mathematical Research & Exposition,31(1),12-22.
MLA Deng DING,et al."Efficient Option Pricing Methods Based on Fourier Series Expansions".Journal of Mathematical Research & Exposition 31.1(2011):12-22.
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