Fourier-based approach for power options valuation
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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Institute for Mathematical Research, Universiti Putra Malaysia
2019
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| Online Access: | http://psasir.upm.edu.my/id/eprint/68374/1/3.%20IQMAL%20UPDATE.pdf http://psasir.upm.edu.my/id/eprint/68374/ http://einspem.upm.edu.my/journal/fullpaper/vol13no1/3.%20IQMAL%20UPDATE.pdf |
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my.upm.eprints.683742019-05-10T08:33:12Z http://psasir.upm.edu.my/id/eprint/68374/ Fourier-based approach for power options valuation Ibrahim, Siti Nur Iqmal Ng, T. W. 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. Institute for Mathematical Research, Universiti Putra Malaysia 2019 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/68374/1/3.%20IQMAL%20UPDATE.pdf 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 http://einspem.upm.edu.my/journal/fullpaper/vol13no1/3.%20IQMAL%20UPDATE.pdf |
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| language |
English |
| description |
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. |
| format |
Article |
| author |
Ibrahim, Siti Nur Iqmal Ng, T. W. |
| spellingShingle |
Ibrahim, Siti Nur Iqmal Ng, T. W. Fourier-based approach for power options valuation |
| author_facet |
Ibrahim, Siti Nur Iqmal Ng, T. W. |
| author_sort |
Ibrahim, Siti Nur Iqmal |
| title |
Fourier-based approach for power options valuation |
| title_short |
Fourier-based approach for power options valuation |
| title_full |
Fourier-based approach for power options valuation |
| title_fullStr |
Fourier-based approach for power options valuation |
| title_full_unstemmed |
Fourier-based approach for power options valuation |
| title_sort |
fourier-based approach for power options valuation |
| publisher |
Institute for Mathematical Research, Universiti Putra Malaysia |
| publishDate |
2019 |
| url |
http://psasir.upm.edu.my/id/eprint/68374/1/3.%20IQMAL%20UPDATE.pdf http://psasir.upm.edu.my/id/eprint/68374/ http://einspem.upm.edu.my/journal/fullpaper/vol13no1/3.%20IQMAL%20UPDATE.pdf |
| _version_ |
1643839182118846464 |
| score |
13.160551 |