ISSN: 2450-7741
OAI
DOI: 10.18276/frfu.2018.92-26
Issue archive /
2/2018 (92)
Wycena opcji parabolicznych przy wykorzystaniu transformaty Fouriera
(Pricing parabola options using Fourier transform)
| Authors: |
Arkadiusz
Orzechowski
Szkoła Główna Handlowa |
| Keywords: | parabola options Fourier transform Black-Scholes model |
| Data publikacji całości: | 2018 |
| Page range: | 12 (301-312) |
| Klasyfikacja JEL: | G13 C02 |
Abstract
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 can be used in the calculation process.
Findings – Under assumptions of the Black-Scholes model it is hard to prove superiority of the BS-FT1 and BS-FT2 models. However, due to their universalism and flexibility, these concepts should be developed.
Originality/value – A new option pricing method based on the Fourier transform can be used to value various types of derivatives in various option pricing models.
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