Fourier Transform of Lookback Option Price
Joint Authors
Yin, Juncheng
Zou, Hailei
Wang, Cheng
Source
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-11-30
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
The Fourier transform of the damped price of Lookback option under B-S model is presented.
Thus, the Lookback option across a range of strikes can be simultaneously priced via FFT algorithm.
FFT algorithm is more efficient than both Monte Carlo simulation method and the integral of the usual pricing formula.
In addition, by FFT algorithm, investors can easily capture the sensitivity of option prices when the strike prices vary as to make reasonable investment decisions.
American Psychological Association (APA)
Wang, Cheng& Zou, Hailei& Yin, Juncheng. 2011. Fourier Transform of Lookback Option Price. ISRN Applied Mathematics،Vol. 2011, no. 2011, pp.1-7.
https://search.emarefa.net/detail/BIM-478051
Modern Language Association (MLA)
Wang, Cheng…[et al.]. Fourier Transform of Lookback Option Price. ISRN Applied Mathematics No. 2011 (2011), pp.1-7.
https://search.emarefa.net/detail/BIM-478051
American Medical Association (AMA)
Wang, Cheng& Zou, Hailei& Yin, Juncheng. Fourier Transform of Lookback Option Price. ISRN Applied Mathematics. 2011. Vol. 2011, no. 2011, pp.1-7.
https://search.emarefa.net/detail/BIM-478051
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-478051
