Fast Fourier Transform and Option Pricing
Cass Business School
Cass Business School Research Paper
This article is a concise introduction to applications of Fourier transform and FFT in option pricing.
Number of Pages in PDF File: 7
Keywords: FFT, Fourier transform, option pricing, Levy process
JEL Classification: G12, C65working papers series
Date posted: February 28, 2008
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