OPTION VALUATION BY USING FAST FOURIER TRANSFORM (FFT) TECHNIQUES WITH VARIANSI GAMMA (VG)
Abstrak: Fourier transform
Techniques have important role in Financial Mathematics. Fast Fourier
Transformation (FFT) is a technique Fourier transform with high accuracy and
more efficient by using characteristic function than density function itself.
FFT is used to option valuation under Lévy processes. This journal described
Fourier transfor with its properties and Lévy processes. The section Lévy
processes, we present a list of Lévy processes commonly used in financial
applications together with their characteristic functions. FFT Algorithms is
computed by using characteristic function of Variance Gamma (VG) with parameter
𝜎,
𝑣,
𝜃).
At the end, we simulated computing Eropa call option value with FFT technique
using VG by Carr and Madan’s approach.
Key Word: Fourier transform,
Lévy processes, fast Fourier transform, Characteristic function, Variance
Gamma, European call option Carr and Madan’s approach
Penulis: Fitriani Rajab
Kode Jurnal: jpmatematikadd141497
