A Novel Error-Reducing Approach on the Fast Fourier Transform Option Valuation
碩士 === 國立交通大學 === 財務金融研究所 === 100 === Applying the fast Fourier transform (FFT) for pricing derivatives is one of the popular and important evaluation methodologies. A general, and highly cited FFT-based approach proposed by Carr and Madan can efficiently price vanilla options given that the charact...
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| Format: | Others |
| Language: | en_US |
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2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/89748293558813368625 |