Option Pricing under Heston and 3/2 Stochastic Volatility Models: an Approximation to the Fast Fourier Transform
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چکیده
The purpose of this thesis is to build a fast and accurate technique for computing option prices under stochastic volatility assumption. Currently, the methodology based on the fast Fourier transform is widely used to deal with that issue. Here we derive and suggest a second order approximation, which offers faster, transparent and deeper interpretations in comparison with existing the ones. Thus, a tractable connection between the Black-Scholes prices and the stochastic volatility prices might be established.
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تاریخ انتشار 2012