Pricing extendible options using the fast Fourier transform
This paper applies the fast Fourier transform (FFT) approach, within the Black-Scholes framework, to the valuation of options whose time to maturity can be extended to a future date (extendible options). We determine the valuation of the extendible options as sums of expectations of indicator functi...
| Principais autores: | , , |
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| Formato: | Artigo |
| Idioma: | English |
| Publicado em: |
Hindawi Publishing Corporation
2014
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| Acesso em linha: | http://psasir.upm.edu.my/id/eprint/35048/1/Pricing%20Extendible%20Options%20Using%20the%20Fast%20Fourier%20Transform.pdf |