Pricing Extendible Options Using the Fast Fourier Transform

被引：10
|
作者：
Ibrahim, Siti Nur Iqmal [1 ,2 ]
O'Hara, John G. [3 ,4 ]
Constantinou, Nick [5 ]
机构：
[1] Univ Putra Malaysia, Fac Sci, Dept Math, Serdang 43400, Selangor, Malaysia
[2] Univ Putra Malaysia, Inst Math Res, Serdang 43400, Selangor, Malaysia
[3] Univ Essex, Ctr Computat Finance & Econ Agents, Colchester CO4 3SQ, Essex, England
[4] Univ KwaZulu Natal, ZA-3001 Durban, South Africa
[5] Univ Essex, Essex Business Sch, Colchester CO4 3SQ, Essex, England
来源：
MATHEMATICAL PROBLEMS IN ENGINEERING | 2014年 / 2014卷
关键词：
STOCHASTIC VOLATILITY; VALUATION;
D O I：
10.1155/2014/831470
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper applies the fast Fourier transform (FFT) approach, within the Black-Scholes framework, to the valuation of options whose time to maturity can be extended to a future date (extendible options). We determine the valuation of the extendible options as sums of expectations of indicator functions, leading to a semianalytic expression for the value of the options over a range of strikes. Compared to Monte Carlo simulation, numerical examples demonstrate that the FFT is both computationally more efficient and higher in accuracy.
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页数：7
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