# Questions tagged [fourier-transform]

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### 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 ...
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### Fourier transform Carr-Madan method on an arbitrar initial $S_0$ values

As mentioned in Carr-Madan's paper, here, the European call option is: $$C_T(k)=\frac{e^{\alpha k}}{\pi}\int_0^\infty\mathcal{Re}\left(e^{-iuk}\psi(u)\right)du$$ where  \psi(u)=e^{-rT}\frac{\phi_T(...
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### COS method for Wishart Heston Model

NOTE: This code is a piece of code I am using for a master's thesis, so I do not expect someone to do the work for me, but I gladly accept suggestions of any kind. However, I am trying to get the ...
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### spectral entropy as stock volatility

There are many way to capture to stock volatility and most common is Beta. But problem with beta this is difficult to select ...
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### Characteristic Function Kou (2002) Model

I'm looking for the correct characteristic function for the Kou (2002) jump diffusion model. Can someone help me? Because if I try to look at it online everyone forgot $r$ and $S_0$. This is what I ...
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### 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 ...
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### 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 ...
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