Pricing extendible options using the fast Fourier transform
This paper applies the fast Fourier transform (FFT) approach, within the Black-Scholes framework, to the valuation of options whose time to maturity can be extended to a future date (extendible options). We determine the valuation of the extendible options as sums of expectations of indicator functi...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Publishing Corporation
2014
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/35048/1/Pricing%20Extendible%20Options%20Using%20the%20Fast%20Fourier%20Transform.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|