摘要翻译:
价差期权是一种基于多种资产的衍生品合约,广泛应用于各种金融市场。计算这类产品的近似方法已经有很长的历史,但迄今为止还没有一种适用于一般模型的精确、高效和灵活的首选方法。本文在对价差期权收益函数进行傅立叶分析的基础上,提出了一个新的一般价差期权定价公式。我们的详细研究证明了快速傅立叶变换实现该公式计算价格的有效性。它具有易于实现、稳定、高效和适用于多种资产定价模型的特点。
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英文标题:
《A Fourier transform method for spread option pricing》
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作者:
T. R. Hurd and Zhuowei Zhou
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最新提交年份:
2009
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要:
Spread options are a fundamental class of derivative contract written on multiple assets, and are widely used in a range of financial markets. There is a long history of approximation methods for computing such products, but as yet there is no preferred approach that is accurate, efficient and flexible enough to apply in general models. The present paper introduces a new formula for general spread option pricing based on Fourier analysis of the spread option payoff function. Our detailed investigation proves the effectiveness of a fast Fourier transform implementation of this formula for the computation of prices. It is found to be easy to implement, stable, efficient and applicable in a wide variety of asset pricing models.
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PDF链接:
https://arxiv.org/pdf/0902.3643