Add to ORKGThe earliest option pricing models originated by Black and Scholes [1] and Merton [18] use the Geometric Brownian process to model the underlying asset price process. However, it is well known among market practitioners that the lognormal assumption of asset price returns suffers from serious deficiencie
We present a new efficient and robust framework for European option pricing under continuous-time as...
An important determinant of option prices is the elasticity of the pricing kernel used to price all ...
A Lévy process is a stochastic process that has stationary and independent increments. Log returns o...
The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineeri...
This paper describes a fast, flexible numerical technique to price American options and generate the...
We analyze the efficiency properties of a numerical pricing method based on Fourier-cosine expansion...
A fast and accurate method for pricing early exercise and certain exotic options in computational fi...
This paper is concerned with fast Fourier transform (FFT) approach to option valuation, where the un...
Abstract. A fast and accurate method for pricing early exercise and certain exotic options in comput...
This paper applies the fast Fourier transform (FFT) approach, within the Black-Scholes framework, to...
In this paper, we present a numerical method based on the fast Fourier transform (FFT) to price call...
Exotic option contracts typically specify a contingency upon an underlying asset price monitored at ...
An important determinant of option prices is the elasticity of the pricing kernel used to price all ...
A model is developed that can price path dependent options when the underlying process is an expone...
Spread options are notoriously difficult to price without the use of Monte Carlo simulation. Some s...
We present a new efficient and robust framework for European option pricing under continuous-time as...
An important determinant of option prices is the elasticity of the pricing kernel used to price all ...
A Lévy process is a stochastic process that has stationary and independent increments. Log returns o...
The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineeri...
This paper describes a fast, flexible numerical technique to price American options and generate the...
We analyze the efficiency properties of a numerical pricing method based on Fourier-cosine expansion...
A fast and accurate method for pricing early exercise and certain exotic options in computational fi...
This paper is concerned with fast Fourier transform (FFT) approach to option valuation, where the un...
Abstract. A fast and accurate method for pricing early exercise and certain exotic options in comput...
This paper applies the fast Fourier transform (FFT) approach, within the Black-Scholes framework, to...
In this paper, we present a numerical method based on the fast Fourier transform (FFT) to price call...
Exotic option contracts typically specify a contingency upon an underlying asset price monitored at ...
An important determinant of option prices is the elasticity of the pricing kernel used to price all ...
A model is developed that can price path dependent options when the underlying process is an expone...
Spread options are notoriously difficult to price without the use of Monte Carlo simulation. Some s...
We present a new efficient and robust framework for European option pricing under continuous-time as...
An important determinant of option prices is the elasticity of the pricing kernel used to price all ...
A Lévy process is a stochastic process that has stationary and independent increments. Log returns o...