Fast Fourier Transform and Option Pricing

7 Pages Posted: 28 Feb 2008

See all articles by Aleš Černý

Aleš Černý

Cass Business School, City, University of London

Date Written: February 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 2008). Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=1098367 or http://dx.doi.org/10.2139/ssrn.1098367

Aleš Černý (Contact Author)

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

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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