Efficient Option Pricing Methods Based on Fourier Series Expansions

摘要

A novel option pricing method based on Fourier-cosine series expansion was proposed by Fang and Oosterlee.Developing their idea,three new option pricing methods based on Fourier,Fourier-cosine and Fourier-sine series expansions are presented in this paper,which are more efficient when the option prices are calculated with many strike prices.A series of numerical experiments under different exp-Lévy models are also given to compare these new methods with the Fang and Oosterlee’s method and other methods.