Analiza efektywności obliczeniowej opcji na przykładzie modelu F. Blacka i M. Scholesa
Journal Title: "Finanse" Czasopismo Komitetu Nauk o Finansach PAN - Year 2016, Vol 9, Issue 1
Abstract
The article presents the most important option pricing models based on Fourier transform. Additionally, alternative model of European option pricing to the previously developed concepts is derived. Then all models are compared in terms of computational speed and accuracy. Based on obtained results it can be concluded that the new model is the best way of option pricing.
Authors and Affiliations
Arkadiusz Orzechowski
Keywords
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- EP ID EP174203
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