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

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Orzechowski A.
FINANSE Czasopismo Komitetu Nauk o Finansach PAN
|
2016
|
issue 1(9)
137-154
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.
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