Options Pricing Efficiency with Fractional Fast Fourier Transform

被引：0
|
作者：
Fang, Ming [1 ]
Chang, Chiu-Lan [2 ]
机构：
[1] Fuzhou Univ Int Studies & Trade, 28 Yuhuan Rd, Fuzhou, Fujian, Peoples R China
[2] Xiamen Univ, Int Coll, Xiangan South Rd, Xiamen, Fujian, Peoples R China
来源：
3RD ASIAN PACIFIC CONFERENCE ON ENERGY, ENVIRONMENT AND SUSTAINABLE DEVELOPMENT (APEESD 2017) | 2017年
关键词：
D O I：
暂无
中图分类号：
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号：
0807 ; 0820 ;
摘要：
We adapt the global minimization algorithms to calibrate the parameter based on the characteristic function and the Fractional Fast Fourier Transform. We compare the option pricing efficiency of Black-Sholes model and Variance Gamma model. We find the option pricing efficiency of Variance Gamma outperform Black-Sholes model. Second, we adapt all the options with the moneyness and find out with the implied approach, the VG outperform the BS.
引用
收藏
页码：208 / 210
页数：3
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