Citation
Ibrahim, Siti Nur Iqmal and Ng, T. W.
(2019)
Fourier-based approach for power options valuation.
Malaysian Journal of Mathematical Sciences, 13 (1).
pp. 31-40.
ISSN 1823-8343; ESSN: 2289-750X
Abstract
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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Official URL or Download Paper: http://einspem.upm.edu.my/journal/fullpaper/vol13n...
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Science Institute for Mathematical Research |
| Publisher: | Institute for Mathematical Research, Universiti Putra Malaysia |
| Keywords: | Fourier-cosine; Option price; Power options |
| Depositing User: | Nabilah Mustapa |
| Date Deposited: | 10 May 2019 08:33 |
| Last Modified: | 10 May 2019 08:33 |
| URI: | http://psasir.upm.edu.my/id/eprint/68374 |
| Statistic Details: | View Download Statistic |
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