| Fast Fourier Transform Approximation of Foreign Currency Option Pricing Based on Exponential Lévy Model |
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| 作者单位： | Department of Mathematics Huazhong University of Science and Technology，Department of Mathematics，Huazhong University of Science and Technology，Wuhan 430074 China，Wuhan 430074 China |
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| 基金项目： | The National Natural Science Foundation of China (No.10571065) |
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| 摘 要： | To study the approximation of foreign currency option prices when the underlying assets' price dynamics are described by exponential Lévy processes, the convolution representations for option pricing formulas were given, and then the fast Fourier transform (FFT) algorithm was used to get the approximate values of option prices. Finally, a numerical example was given to demonstrate the calculate steps to the option price by FFT.
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| 关 键 词： | Exponential Lévy model Bilateral Laplace transformation Measure change Foreign currency options Fast Fourier transform |
Fast Fourier Transform Approximation of Foreign Currency Option Pricing Based on Exponential Lévy Model |
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| CHEN Xu,WAN Jian-ping. Fast Fourier Transform Approximation of Foreign Currency Option Pricing Based on Exponential Lévy Model[J]. Journal of Southwest Jiaotong University, 2007, 15(3): 261-270 |
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| Authors: | CHEN Xu WAN Jian-ping |
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| Abstract: | To study the approximation of foreign currency option prices when the underlying assets'price dynamics are described by exponential Lévy processes, the convolution representations for option pricing formulas were given, and then the fast Fourier transform(FFT) algorithm was used to get the approximate values of option prices. Finally, a numerical example was given to demonstrate the calculate steps to the option price by FFT. |
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| Keywords: | Bilateral Laplace transformation Measure change Foreign currency options Fast Fourier transform |
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