Spread Option Valuation and the Fast Fourier Transform
作者： M. A. H. Dempster , S. S. G. Hong
DOI: 10.1007/978-3-662-12429-1_10
关键词:
摘要: … We shall use these two characteristic functions to compute the spread option prices under the GBM and SV model. In the former case the prices computed by the FFT method are …
springer.com
researchgate.net 
sci-hub.st 参考文章(16)
Les Clewlow, Chris Strickland, Implementing derivatives models John Wiley & Sons. ,(1998)
Peter Carr, Dilip Madan, Option valuation using the fast Fourier transform The Journal of Computational Finance. ,vol. 2, pp. 61- 73 ,(1999) , 10.21314/JCF.1999.043
Lenos Trigeorgis, Real Options: Managerial Flexibility and Strategy in Resource Allocation ,(1996)
Louis O. Scott, Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods Mathematical Finance. ,vol. 7, pp. 413- 426 ,(1997) , 10.1111/1467-9965.00039
Ren-Raw Chen, Louis Scott, Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure Review of Financial Studies. ,vol. 5, pp. 613- 636 ,(1992) , 10.1093/RFS/5.4.613
David C. Shimko, Options on futures spreads: Hedging, speculation, and valuation Journal of Futures Markets. ,vol. 14, pp. 183- 213 ,(1994) , 10.1002/FUT.3990140206
Steven L. Heston, A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options Review of Financial Studies. ,vol. 6, pp. 327- 343 ,(1993) , 10.1093/RFS/6.2.327
Dilip B. Madan, Peter P. Carr, Eric C. Chang, The Variance Gamma Process and Option Pricing Review of Finance. ,vol. 2, pp. 79- 105 ,(1998) , 10.1023/A:1009703431535
Geoffrey Poitras, Spread options, exchange options, and arithmetic Brownian motion Journal of Futures Markets. ,vol. 18, pp. 487- 517 ,(1998) , 10.1002/(SICI)1096-9934(199808)18:5<487::AID-FUT1>3.0.CO;2-Z
Ole E. Barndorff-Nielsen, Processes of normal inverse Gaussian type Finance and Stochastics. ,vol. 2, pp. 41- 68 ,(1997) , 10.1007/S007800050032