Fourier-based approach for power options valuation

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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.

Bibliographic Details
Main Authors:	Ibrahim, Siti Nur Iqmal, Ng, T. W.
Format:	Article
Language:	English
Published:	Institute for Mathematical Research, Universiti Putra Malaysia 2019
Online Access:	http://psasir.upm.edu.my/id/eprint/68374/ http://psasir.upm.edu.my/id/eprint/68374/1/3.%20IQMAL%20UPDATE.pdf

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