Fast Fourier Transform and Option Pricing

Cerny, Ales

doi:10.2139/ssrn.1098367

Abstract

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Fast Fourier Transform and Option Pricing

Ales Cerny

Cass Business School

February 2008

Cass Business School Research Paper

Abstract:
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, C65

working papers series

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Date posted: February 28, 2008

Suggested Citation

Cerny, Ales, Fast Fourier Transform and Option Pricing (February 2008). Cass Business School Research Paper. Available at SSRN: http://ssrn.com/abstract=1098367 or http://dx.doi.org/10.2139/ssrn.1098367

Contact Information

Ales Cerny (Contact Author)

Cass Business School ( email )

Faculty of Finance
106 Bunhill Row
London
United Kingdom

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