OpenAlex
Pricing Extendible Options Using the Fast Fourier Transform
Work
Year: 2014
Type: article
Abstract: This paper applies the fast Fourier transform (FFT) approach, within the Black-Scholes framework, to the valuation of options whose time to maturity can be extended to a future date (extendible option... more
Source: Mathematical Problems in Engineering
Authors Siti Nur Iqmal Ibrahim, John G. O’Hara, Nick Constantinou
Institutions Universiti Putra Malaysia, University of KwaZulu-Natal, University of Essex
Cites: 21
Cited by: 15
Related to: 10
FWCI: 1.453
Citation percentile (by year/subfield): 89.47
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $2,400
Funder Universiti Putra Malaysia