The fast Fourier transform and its applications to European spread option pricing

Autor:	Bladyko, Daniil
Přispěvatelé:	Stádník, Bohumil, Fleischmann, Luboš
Jazyk:	čeština
Rok vydání:	2017
Předmět:	Stochastic volatility Geometric Brown motion Fast Fourier transform Fourierova analýza Geometrický Brownův pohyb Rychlá Fourierova transformace Stochastická volatilita Oceňování opcí Spreadová opce Spread option Fourier analysis Options pricing Monte Carlo
Popis:	This master thesis should provide reader with an overview of the European spread options evaluation using the fast Fourier transform numerical method. The first and second part of the thesis deal with the theoretical foundations of Fourier analysis and existing approaches of spread option valuation under two and three-factors frameworks (namely GBM - geometric Brown motion and SV - stochastic volatility). The third part describes extention of Hurd-Zhou (2010) valuation method by tool for call and put spread options pricing in case of negative or zero strikes. Extension will be compared with Monte Carlo simulation results from a variety of perspectives, including computing complexity and implementation requirements. Dempster-Hong model, Hurd-Zhou model and Monte Carlo simulation are implemented and tested in R (programming language).
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od______2186::b89e7ae960916d7fd60ae3efaef3fdba http://www.nusl.cz/ntk/nusl-360565 Zobrazit plný text záznamu