# Questions tagged [fourier-transform]

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### How do you derive this Carr-Madan-like equation?

How do you derive equation (3) below? The equation is tagged as equation (11) in this paper: http://janroman.dhis.org/finance/IR/Heston%E2%80%93Hull%E2%80%93White%20Model%20Part%20I.pdf There are ...
0answers
45 views

### Cyclic analysis for trading signal generation

I would like to build trading signals using cyclic analysis in order to obtain a forecast afterwards. I had a look in literature and Hurst analysis, Fourier, etc, are used However, I am struggling to ...
1answer
224 views

### Fourier transform for stock price forecasting

I am trying to forecast stock prices using Fast Fourier Transform, and plot historical, "future" (i.e. real) and forecast prices on the same chart to visually compare the accuracy of the ...
1answer
55 views

### Heston model with underlying BS dynamics always gives 1/2 of the right value, what am I doing wrong?

Just as an exercise I'm trying to follow this paper: https://arxiv.org/ftp/arxiv/papers/1502/1502.02963.pdf In the section 2.2 it calculates the value of a Call using the characteristic function of ...
1answer
180 views

### Option pricing using discrete fourier transform (python)

I am trying to implement the pricing formula for a European (call) option given in Ales Cerny's paper "Introduction to Fast Fourier Transform in Finance" (paper can be found here), as ...
0answers
62 views

### Change of the stock price dynamics while pricing using the Fourier transform techniques

Right now I am trying to understand how we can use the Fourier theorem in obtaining the formula for option pricing (from Zhu J., "Modular pricing of options"). While modeling the interest ...
1answer
167 views

### Most accurate Fourier transform method for extreme OTM options

I need to calculate vanilla options prices for extreme moneyness range of e.g. (0%,1000%) under the Heston model for various parameter values that satisfy Feller. Which Fourier method (or other method)...
1answer
222 views

0answers
78 views

### Pricing options by IFT under the Heston and Nandi (2000) model: odd behavior

I am working on option pricing using GARCH models and, currently, I am coding the pricing of options under the Heston and Nandi (2000) model. This model admits a quasi analytical formula for pricing ...
0answers
57 views

1answer
228 views

4answers
4k views

### From Fourier Transforms to Option Values

I am trying to understand how Fourier transforms & Characteristics functions can be used to calculate option values. However, I am having difficulty following the process that is used in several ...