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.

引用

页数：7

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