Option Pricing by the Fourier Transform

Geon Ho Choe
Additional contact information
Geon Ho Choe: Korea Advanced Institute of Science and Technology, Department of Mathematical Sciences

Chapter Chapter 25 in Quantitative Methods for Finance with Simulations II, 2026, pp 435-458 from Springer

Abstract: Abstract In this chapter we use the Fourier transform of the risk-neutral probability density function to compute the option price. Sometimes it is hard to obtain the risk-neutral pdf for the underlying asset price. We apply the Fourier transform methods to find the option prices when the characteristic function of the risk-neutral pdf is available.

Date: 2026
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-032-12331-2_25

Ordering information: This item can be ordered from
http://www.springer.com/9783032123312

DOI: 10.1007/978-3-032-12331-2_25

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().