Fast pricing of European options

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ
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Sergei Z. Levendorskiĭ: Rostov State University of Economics, Russia

Chapter 12 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 255-266 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionTransformation of the pricing formula for the European putFFT and IACFast Fourier TransformIntegration-along-cut methodCase a)Case b)Comparison of FFT and IAC

Keywords: Non-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes (search for similar items in EconPapers)
Date: 2002
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