Pricing extendible options using the fast Fourier transform

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Pricing extendible options using the fast Fourier transform

This paper applies the fast Fourier transform (FFT) approach, within the Black-Scholes framework, to the valuation of options whose time to maturity can be extended to a future date (extendible options). We determine the valuation of the extendible options as sums of expectations of indicator functi...

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Bibliographic Details
Main Authors:	Ibrahim, Siti Nur Iqmal, O'Hara, John G., Constantinou, Nick
Format:	Article
Language:	English
Published:	Hindawi Publishing Corporation 2014
Online Access:	http://psasir.upm.edu.my/id/eprint/35048/ http://psasir.upm.edu.my/id/eprint/35048/1/Pricing%20Extendible%20Options%20Using%20the%20Fast%20Fourier%20Transform.pdf

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