Improvements on Fast Fourier Transform Option Pricing
碩士 === 國立交通大學 === 財務金融研究所 === 99 === This thesis analyzes and improves FFT-based pricing algorithms that can be applied to price a wide class of derivatives under Levy processes. Convolutions and interpolations are widely used in these algorithms. Our paper constructs faster error convergence rate a...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/10332076657999300822 |