Questions tagged [fourier-transform]
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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 ...
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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)...
user34971
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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 ...
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