Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia


ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2018.91-40
CC BY-SA   Open Access 

Issue archive / 1/2018 (91)
Symetryczne opcje potęgowe – propozycja nowej koncepcji wyceny za pomocą transformaty Fouriera
(PRICING SYMMETRIC POWER OPTIONS – PROPOSITION OF A NEW METHOD BASED ON THE FOURIER TRANSFORM)

Authors: Arkadiusz Orzechowski
Szkoła Główna Handlowa
Keywords: symmetric power options Fourier transform Black-Scholes model
Data publikacji całości:2018
Page range:13 (501-513)
Klasyfikacja JEL: C65 G12 G13
Cited-by (Crossref) ?:

Abstract

The purpose of this article is to present a new way of valuing symmetric power options and to compare it with alternative concepts that can be used to determine the theoretical values of the contracts, i.e. martingale and J. Zhu methods. The methodology of the conducted research is based on comparing the accuracy and computational speed of every approach to pricing symmetric power options. The obtained results allow to conclude that the use of Fourier transforms for the valuation of options slows down the valuation process in relation to the martingale approach. However, due to the universality of approaches based on the Fourier transform (the possibility of their use to determine the value of options under the conditions of randomness of underlying assets’ prices), they can not be considered unambiguously worse. The greatest value of the submitted paper is a possibility of applying the author's method of pricing symmetric power options and analysis of its speed and computational accuracy.
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