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.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute for Mathematical Research, Universiti Putra Malaysia
2019
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| Online Access: | http://psasir.upm.edu.my/id/eprint/68374/ http://psasir.upm.edu.my/id/eprint/68374/1/3.%20IQMAL%20UPDATE.pdf |
| _version_ | 1848856108795428864 |
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| author | Ibrahim, Siti Nur Iqmal Ng, T. W. |
| author_facet | Ibrahim, Siti Nur Iqmal Ng, T. W. |
| author_sort | Ibrahim, Siti Nur Iqmal |
| building | UPM Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T11:36:25Z |
| format | Article |
| id | upm-68374 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T11:36:25Z |
| publishDate | 2019 |
| publisher | Institute for Mathematical Research, Universiti Putra Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-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 |
| spellingShingle | Ibrahim, Siti Nur Iqmal Ng, T. W. Fourier-based approach for power options valuation |
| title | 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_short | Fourier-based approach for power options valuation |
| title_sort | fourier-based approach for power options valuation |
| url | http://psasir.upm.edu.my/id/eprint/68374/ http://psasir.upm.edu.my/id/eprint/68374/ http://psasir.upm.edu.my/id/eprint/68374/1/3.%20IQMAL%20UPDATE.pdf |