Full length research paper fast fourier transform technique for the european option pricing with double jumps (2011).

Content Provider	CiteSeerX
Author	Zhang, Sumei Wang, Lihe
Abstract	In this paper, we provided a fast algorithm for pricing European options under a double exponential jump-diffusion model based on Fourier transform. We derived a closed-form (CF) representation of the characteristic function of the model. By using fast Fourier transform (FFT) technique, we obtained an approximation numerical solution for the prices of European call options. Our numerical results show that our method is fast, accurate and easy to implement. The proposed option pricing method is useful for empirical analysis of asset returns and managing the corporate credit risks. Key words: Fast Fourier transforms, characteristic function, double exponential jump diffusion, option pricing.
File Format	PDF
Publisher Date	2011-01-01
Access Restriction	Open
Subject Keyword	Double Jump European Option Pricing Characteristic Function Fourier Transform Double Exponential Jump-diffusion Model European Option Fast Algorithm Approximation Numerical Solution Numerical Result Asset Return Empirical Analysis Corporate Credit Risk Option Pricing Option Pricing Method Key Word Fast Fourier Transforms Double Exponential Jump Diffusion European Call Option
Content Type	Text