Fast Fourier Transform and Option Pricing

Preprint

7 Pages Posted: 28 Feb 2008 Last revised: 22 Jun 2020

See all articles by Aleš Černý

Aleš Černý

The Business School (formerly Cass), City, University of London

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

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

Aleš Černý (Contact Author)

The Business School (formerly Cass), City, University of London ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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