Sökning: "Abaynesh Berta"

Hittade 1 uppsats innehållade orden Abaynesh Berta.

  1. 1. Option Pricing using the Fast Fourier Transform Method

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Abaynesh Berta; [2020]
    Nyckelord :Black-Scholes-Merton model; Characteristic function; Fast Fourier transform; Fourier Inverse Fourier transform; Option pricing;

    Sammanfattning : The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineering, it has become attractive in Finance as well for it’s enhancement of computational speed. Carr and Madan succeeded in implementing the FFT for pricing of an option. LÄS MER