European Option Pricing With a Fast Fourier Transform Algorithm for Big Data Analysis

Several empirical studies show that, under multiple risks, markets exhibit many new properties, such as volatility smile and cluster fueled by the explosion of transaction data. This paper attempts to capture these newly developed features using the valuation of European options as a vehicle. Statis...

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Bibliographic Details
Published in:	IEEE transactions on industrial informatics Vol. 12; no. 3; pp. 1219 - 1231
Main Authors:	Shuang Xiao, Shi-Hua Ma, Guo Li, Mukhopadhyay, Samar K.
Format:	Journal Article
Language:	English
Published:	Piscataway IEEE 01.06.2016 The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects:	Algorithm design and analysis Algorithms Analytical models Big data big data analysis Europe European option pricing Fast Fourier Transform algorithm Fourier transforms Markets Mathematical analysis Mathematical models Multiple risks Numerical analysis Numerical models Pricing Reversion stochastic modeling Stochastic processes Volatility stochastic modeling European option pricing Big data analysis fast Fourier transform (FFT) algorithm multiple risks
ISSN:	1551-3203, 1941-0050
Online Access:	Get full text
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