Fast Fourier Transform Approximation of Foreign Currency Option Pricing Based on Exponential Lévy Model  

作　　者：陈旭 万建平 

机构地区：[1]Department of Mathematics,Huazhong University of Science and Technology

出　　处：《Journal of Southwest Jiaotong University(English Edition)》2007年第3期261-270,共10页西南交通大学学报（英文版）

基　　金：Foundation item The National Natural Science Foundationof China (No10571065)

摘　　要：To study the approximation of foreign currency option prices when the underlying assets＇ price dynamics are described by exponential Lévy processes, the convolution representations for option pricing formulas were given, and then the fast Fourier transform （FFT） algorithm was used to get the approximate values of option prices. Finally, a numerical example was given to demonstrate the calculate steps to the option price by FFT.To study the approximation of foreign currency option prices when the underlying assets＇ price dynamics are described by exponential Lévy processes, the convolution representations for option pricing formulas were given, and then the fast Fourier transform （FFT） algorithm was used to get the approximate values of option prices. Finally, a numerical example was given to demonstrate the calculate steps to the option price by FFT.

关 键 词：Exponential Lévy model Bilateral Laplace transformation Measure change Foreign currency options Fast Fourier transform 

分 类 号：F820[经济管理—财政学]