scholarly journals Lookback option pricing using the Fourier transform B-spline method

2014 ◽  
Vol 14 (5) ◽  
pp. 789-803 ◽  
Author(s):  
Gareth G. Haslip ◽  
Vladimir K. Kaishev
2015 ◽  
Vol 19 (1) ◽  
pp. 41-74 ◽  
Author(s):  
Gareth G. Haslip ◽  
Vladimir K. Kaishev

2013 ◽  
Vol 380-384 ◽  
pp. 4537-4540
Author(s):  
Nan Liu ◽  
Mei Ling Wang ◽  
Xue Bin Lü

The multi-dimensional Esscher transform was used to find a locally equivalent martingale measure to price the options based on multi-asset. An integro-differential equation was driven for the prices of multi-asset options. The numerical method based on the Fourier transform was used to calculate some special multi-asset options in exponential Lévy models. As an example we give the calculation of extreme options.


2011 ◽  
Vol 2011 ◽  
pp. 1-7
Author(s):  
Cheng Wang ◽  
Hailei Zou ◽  
Juncheng Yin

The Fourier transform of the damped price of Lookback option under B-S model is presented. Thus, the Lookback option across a range of strikes can be simultaneously priced via FFT algorithm. FFT algorithm is more efficient than both Monte Carlo simulation method and the integral of the usual pricing formula. In addition, by FFT algorithm, investors can easily capture the sensitivity of option prices when the strike prices vary as to make reasonable investment decisions.


2019 ◽  
Vol 68 (5) ◽  
pp. 1207-1232 ◽  
Author(s):  
Michael J. Price ◽  
Cindy L. Yu ◽  
David A. Hennessy ◽  
Xiaodong Du

2021 ◽  
Vol 11 (6) ◽  
pp. 2582
Author(s):  
Lucas M. Martinho ◽  
Alan C. Kubrusly ◽  
Nicolás Pérez ◽  
Jean Pierre von der Weid

The focused signal obtained by the time-reversal or the cross-correlation techniques of ultrasonic guided waves in plates changes when the medium is subject to strain, which can be used to monitor the medium strain level. In this paper, the sensitivity to strain of cross-correlated signals is enhanced by a post-processing filtering procedure aiming to preserve only strain-sensitive spectrum components. Two different strategies were adopted, based on the phase of either the Fourier transform or the short-time Fourier transform. Both use prior knowledge of the system impulse response at some strain level. The technique was evaluated in an aluminum plate, effectively providing up to twice higher sensitivity to strain. The sensitivity increase depends on a phase threshold parameter used in the filtering process. Its performance was assessed based on the sensitivity gain, the loss of energy concentration capability, and the value of the foreknown strain. Signals synthesized with the time–frequency representation, through the short-time Fourier transform, provided a better tradeoff between sensitivity gain and loss of energy concentration.


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