Browsing Mathematics and Applied Mathematics by Subject "Fast Fourier transform (FFT)"

Browsing Mathematics and Applied Mathematics by Subject "Fast Fourier transform (FFT)"

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  • Efficient pricing of spread options with stochastic rates and stochastic volatility 
    Levendis, Alexis Jacques; Mare, Eben (MDPI, 2022-11)
    Spread options are notoriously difficult to price without the use of Monte Carlo simulation. Some strides have been made in recent years through the application of Fourier transform methods; however, to date, these methods ...
  • 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 ...