Fast Fourier Transform and Option Pricing-studies based the Shanghai and Shenzhen stock exchange markets

摘要：

Different Option valuation models are compared in cases of China Shanghai and Shenzhen Securities. Our main findings are that the difference among theoretical options prices obtained assuming stock prices following different Levy processes are small. It could be good way to get the approximate theoretical options price using Black-Scholes formula. Improving the simulating underlying stock price process cannot completely eliminate the great differences between theoretical options price and market price.

关键词： Levy distribution FFT Black-Scholes formula

作者: Wang Anxing Qin Zhiqing

作者单位: Shanghai University of Finance and Finance 777 Guoding Road,Shanghai 200433

会议类型: 国际会议

会议名称: International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)

会议地点: 上海

会议语种:英文

页码: 98-101

在线出版日期: 2008-06-01（万方平台首次上网日期，不代表论文的发表时间）