WYCENA ASYMETRYCZNYCH OPCJI LOGARYTMICZNYCH 2 ZA POMOCĄ TRANSFORMATY FOURIERA
PRICING ASYMMETRIC LOGARITHMIC OPTIONS VIA 2 FOURIER TRANSFORM
Author(s): Arkadiusz OrzechowskiSubject(s): Economy, Methodology and research technology
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: Black-Scholes model; Fourier transform; asymmetric logarithmic 11 options;
Summary/Abstract: The aim of the article is to price European logarithmic options via 4 Fourier transform. As a part of the subject metter, three approaches were 5 proposed to determine theoretical value of the analyzed derivatives in the 6 F. Black and M. Scholes setting, i.e. the martingale approach, F. Black and 7 M. Scholes approach and the approach based on the Fourier transform. In 8 addition, an analysis of the computational speed and accuracy of the 9 valuations was carried out.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XIX/2018
- Issue No: 3
- Page Range: 238-250
- Page Count: 13
- Language: Polish