| Fast Fourier Transform Approximation of Foreign Currency Option Pricing Based on Exponential Lévy Model |
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| 作者姓名： | 陈旭 万建平 |
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| 作者单位： | Department of Mathematics, Huazhong University of Science and Technology, Wuhan 430074, China |
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| 基金项目： | Foundation item 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： | 指数Lé vy模型 双向Laplace转换 测度变化 快速傅立叶变换 |
| 文章编号： | 1005-2429（2007）03-0261-10 |
| 修稿时间： | 2006-06-13 |
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):61-270. |
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| Authors: | CHEN Xu WAN Jian-ping |
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| Institution: | Department of Mathematics, Huazhong University of Science and Technology, Wuhan 430074, China |
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| Abstract: | |
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| Keywords: | Exponential Lé vy model Bilateral Laplace transformation Measure change Foreign currency options Fast Fourier transform |
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