# Questions tagged [fourier-transform]

The tag has no usage guidance.

14 questions
Filter by
Sorted by
Tagged with
0answers
53 views

### Beginner FFT (Fourier) transforms on closing prices for Apple

I don't know math very well, but I have been programming for many years. I would like to use FFT as a parameter to a ML model. The FFT is diving down sharply. I tried many stocks and its the same. ...
1answer
147 views

### How much math is needed to understand Fourier Transform methods for option pricing?

I know of FDM and MC methods for option pricing, but have little to no experience with Fourier Methods. I am intending to dive into the literature on using Fourier methods for option pricing, ...
2answers
93 views

### What's some good literature for Fourier transform methods?

I am looking for literature on Fourier methods in Quantitative Finance. I've been googling and found the book "Fourier Transform Methods in Finance" (Wiley), but the book seems poorly reviewed. ...
1answer
61 views

### Python Numpy FFT array size limit?

I am trying to find the price of an Option based on the fft technique within the binomial model and it works fine until N>40000 where I start getting negative values and weird convergene and I am not ...
1answer
74 views

### Transform of payoff function $w_c=(\sqrt{y}-K)^+$ [closed]

I am working on a project where I price EU call options written on the VIX index. The payoff function of interest looks like $w_c=(\sqrt{y}-K)^+$ where K is the strike price and y is the value of \$...
0answers
107 views