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Results tagged with pricing
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user 2402
1
vote
0
answers
33
views
Pricing a transfer option for oil
Need some input in how to attack this problem. Given are 8 timeseries:
UK Oil price, Delivery Quarter 1 2020
UK Oil price, Delivery Quarter 2 2020
UK Oil price, Delivery Quarter 3 2020
UK Oil price, …
- 431
15
votes
4
answers
4k
views
Implementing a Fast Fourier Transform for Option Pricing
My goal is an implementation of a Fast Fourier Transform algorithm (FFT) which can be applied to the pricing of options. … -which Pricing model:
I Guess Black Scholes is a bit too 'flat' and I am aware of the several models that emerged after BS. …
- 431