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Option pricing mathematical models and computation art


Option pricing mathematical models and computation art


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There is a long history of approximation methods for computing such products, but as yet there is no preferred approach that is accurate, efficient, and flexible enough to apply in general asset models. The present paper introduces a new formula for general spread option pricing based on Fourier analysis of the payoff function. Our detailed investigation, including a flexible and general error analysis, proves the effectiveness of a fast Fourier transform implementation of this formula for the computation of spread option prices.

It is found to be easy to implement, stable, efficient, and applicable in a wide variety of asset pricing models.




Option pricing mathematical models and computation art

Option pricing mathematical models and computation art

Option pricing mathematical models and computation art



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