Download This PaperFast Fourier Transform and Option Pricing
Preprint
7 Pages Posted: 28 Feb 2008 Last revised: 22 Jun 2020
Date Written: February 1, 2008
Abstract
This article is a concise introduction to applications of Fourier transform and FFT in option pricing.
Keywords: FFT, Fourier transform, option pricing, Levy process
JEL Classification: G12, C65
Suggested Citation: Suggested Citation
Černý, Aleš, Fast Fourier Transform and Option Pricing (February 1, 2008). Preprint, Available at SSRN: https://ssrn.com/abstract=1098367 or http://dx.doi.org/10.2139/ssrn.1098367
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