Fourier-based approach for power options valuation
In this study, we price options whose underlying asset is raised to a constant using the Fourier-Cosine (COS) method. The valuation is made within the Black-Scholes environment, where numerical experiments show that the COS method is more efficient than other known option pricing techniques.
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute for Mathematical Research, Universiti Putra Malaysia
2019
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| Online Access: | http://psasir.upm.edu.my/id/eprint/68374/1/3.%20IQMAL%20UPDATE.pdf http://psasir.upm.edu.my/id/eprint/68374/ http://einspem.upm.edu.my/journal/fullpaper/vol13no1/3.%20IQMAL%20UPDATE.pdf |
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