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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英语
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Document TypeJournal article
CollectionFaculty of Science and Technology
DEPARTMENT OF MATHEMATICS
Corresponding AuthorDeng DING; Sio Chong U
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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