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Fourier-based approach for power options valuation

In this study, we price options whose underlying asset is raised to a constant using the Fourier-Cosine (COS) method. The valuation is made within the Black-Scholes environment, where numerical experiments show that the COS method is more efficient than other known option pricing techniques.

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Main Authors: Ibrahim, Siti Nur Iqmal, Ng, T. W.
Format: Article
Language:English
Published: Institute for Mathematical Research, Universiti Putra Malaysia 2019
Online Access:http://psasir.upm.edu.my/id/eprint/68374/1/3.%20IQMAL%20UPDATE.pdf
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id oai:psasir.upm.edu.my:68374
record_format eprints
spelling oai:psasir.upm.edu.my:68374 http://psasir.upm.edu.my/id/eprint/68374/ Fourier-based approach for power options valuation Ibrahim, Siti Nur Iqmal Ng, T. W. In this study, we price options whose underlying asset is raised to a constant using the Fourier-Cosine (COS) method. The valuation is made within the Black-Scholes environment, where numerical experiments show that the COS method is more efficient than other known option pricing techniques. Institute for Mathematical Research, Universiti Putra Malaysia 2019 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/68374/1/3.%20IQMAL%20UPDATE.pdf Ibrahim, Siti Nur Iqmal and Ng, T. W. (2019) Fourier-based approach for power options valuation. Malaysian Journal of Mathematical Sciences, 13 (1). pp. 31-40. ISSN 1823-8343; ESSN: 2289-750X http://einspem.upm.edu.my/journal/fullpaper/vol13no1/3.%20IQMAL%20UPDATE.pdf
institution UPM IR
collection UPM IR
language English
description In this study, we price options whose underlying asset is raised to a constant using the Fourier-Cosine (COS) method. The valuation is made within the Black-Scholes environment, where numerical experiments show that the COS method is more efficient than other known option pricing techniques.
format Article
author Ibrahim, Siti Nur Iqmal
Ng, T. W.
spellingShingle Ibrahim, Siti Nur Iqmal
Ng, T. W.
Fourier-based approach for power options valuation
author_facet Ibrahim, Siti Nur Iqmal
Ng, T. W.
author_sort Ibrahim, Siti Nur Iqmal
title Fourier-based approach for power options valuation
title_short Fourier-based approach for power options valuation
title_full Fourier-based approach for power options valuation
title_fullStr Fourier-based approach for power options valuation
title_full_unstemmed Fourier-based approach for power options valuation
title_sort fourier-based approach for power options valuation
publisher Institute for Mathematical Research, Universiti Putra Malaysia
publishDate 2019
url http://psasir.upm.edu.my/id/eprint/68374/1/3.%20IQMAL%20UPDATE.pdf
_version_ 1782757417595961344
score 12.935284

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