Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Option valuation using the fast Fourier transform
Peter Carr, Dilip B. Madan
Abstract
ABSTRACT
In this paper the authors show how the fast Fourier transform may be used to value options when the characteristic function of the return is known analytically.
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