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Option pricing through Fourier transforms
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Resumo(s)
Financial markets have been evolving so much in the last few years that the whole system had to be adapted to the changes. With the evolution of the computers, and with the entry of mathematicians and physicists into the financial industry, everything has changed so much that any Financial Institution cannot afford to be slower than some competitor. This master thesis focus on the pricing of European-style call and put options using Fourier analytic methods, which can be much faster than other calculation methods for the same accuracy level. We analyze and prove Lee [2004] [1] pricing equations for the specific case of European vanilla options, and we also implement the Matlab code which will allow us to see the application of those equations into practice.
Descrição
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2015
Palavras-chave
Matemática financeira Teses de mestrado - 2015