Search scope: All publications
Results for “Fourier transform”: 4.
Article 2018
Authors / editors: Arkadiusz Orzechowski
Published in: Finanse, Rynki Finansowe, Ubezpieczenia
Purpose – Comparative analysis of alternative methods of pricing options which allows to determine the value of parabolic options.
Design/methodology/approach – Investigating computational accuracy and speed of BS, BS-FT1 and BSFT2 methods with different numerical schemes that c…
DOI: 10.18276/frfu.2018.92-26 · ISSN: 2450-7741
Article 2018
Authors / editors: Arkadiusz Orzechowski
Published in: Finanse, Rynki Finansowe, Ubezpieczenia
Purpose – analysis of the sensitivity of the valuation of the near - to - maturity European options (performed via the Fourier transform) on the parameter alpha and other risk factors.
Design/methodology/approach – research is based on the analysis of the sensitivity of the dif…
DOI: 10.18276/frfu.2018.91-39 · ISSN: 2450-7741
Article 2018
Authors / editors: Arkadiusz Orzechowski
Published in: Finanse, Rynki Finansowe, Ubezpieczenia
The purpose of this article is to present a new way of valuing symmetric power options and to compare it with alternative concepts that can be used to determine the theoretical values of the contracts, i.e. martingale and J. Zhu methods. The methodology of the conducted research …
DOI: 10.18276/frfu.2018.91-40 · ISSN: 2450-7741
Article 2017
Authors / editors: Arkadiusz Orzechowski
Published in: Finanse, Rynki Finansowe, Ubezpieczenia
The purpose of this article is to compare three ways of evaluating asymmetric power options in the Black-Scholes framework: martingale approach and two concepts based on the Fourier transform (including one derived by the author of the article). The methodology of the conducted r…
DOI: 10.18276/frfu.2017.89/2-36 · ISSN: 2450-7741