European option valuation with the Fourier transform : calculation analysis of P. Carr and D. Madan's approach

• Autorzy: Arkadiusz Orzechowski
• Języki publikacji: EN

Abstrakty

EN

The presented article analyses possible applications of the Fourier transform to valu- ate European options as exemplified in P. Carr and D. Madan's model. Within the undertaken problems the research is conducted with regard to the following issues: the impact of parameter alpha on the accuracy of generated results as well as the speed and calculation precision of the approach under consideration. The results of the conducted research indicate that the application of the Fourier transform to valuate derivative instruments based of derivative laws, with all the rightness of the assumptions made by F. Black and M. Scholes, does not pose any competition for the traditional approach. The advantages of the Fourier transform are revealed really in the stochastic volatility models, e.g. the S.L. Heston model. (original abstract)

Słowa kluczowe

EN

European options; Options pricing; Fourier Transform

PL

Opcje europejskie; Wycena opcji; Transformacja Fouriera

• Czasopismo: Journal of Management and Financial Sciences
• Rocznik: 2013
• Tom: 6
• Numer: nr 13
• Strony: 23--46

Twórcy

autor

Arkadiusz Orzechowski

• Szkoła Główna Handlowa w Warszawie

Bibliografia

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