Analiza efektywności obliczeniowej opcji na przykładzie modelu F. Blacka i M. Scholesa

• Authors: Arkadiusz Orzechowski
• Languages of publication: PL

Abstracts

EN

The article presents the most important option pricing models based on Fourier transform. Additionally, alternative model of European option pricing to the previously developed concepts is derived. Then all models are compared in terms of computational speed and accuracy. Based on obtained results it can be concluded that the new model is the best way of option pricing.

Keywords

PL

wycena opcji, model Blacka–Scholesa, transformata Fouriera

EN

option pricing, Black–Scholes model, Fourier transform

• Publisher: Komitet Nauk o Finansach PAN
• Journal: FINANSE Czasopismo Komitetu Nauk o Finansach PAN
• Year: 2016
• Issue: 1(9)
• Pages: 137-154

Contributors

author

Arkadiusz Orzechowski

• Szkoła Główna Handlowa w Warszawie

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