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  1. 1 Studia Ekonomiczne

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  1. 1 Orzechowski A.

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  1. 1 2014

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Czy można wycenić opcje europejskie lepiej niż w modelu P. Carra i D. Madana? Przegląd modeli opartych na transformacie Fouriera

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Orzechowski A.
Studia Ekonomiczne
|
2014
|
vol. 186 cz 2
157-174
EN
This document relates to the valuation of options using the Fourier transform. Topics covered in the document include both analysis of the traditional approaches and alternative concepts. The subject matter of particular interest is the speed and computational precision of the European-style option valuation methods.
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