Questions tagged [fourier-transform]

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20 votes
4 answers

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 ...
sets's user avatar
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5 votes
2 answers

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)...
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3 votes
1 answer

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 ...
lazarea's user avatar
  • 131