Browsing Research Articles (Actuarial Science) by Subject "Characteristic function"

Browsing Research Articles (Actuarial Science) by Subject "Characteristic function"

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  • Pricing two-asset rainbow options with the fast Fourier transform 
    Levendis, Alexis; Mare, Eben (South African Statistical Association (SASA), 2023)
    In this paper, we present a numerical method based on the fast Fourier transform (FFT) to price call options on the minimum of two assets, otherwise known as two-asset rainbow options. We consider two stochastic processes ...