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5. Fast Fourier Transform of Multi-Assets Options under Economic Recession Induced Uncertainties

Fast Fourier Transform of Multi-Assets Options under Economic Recession Induced Uncertainties

来源 :美国计算数学期刊(英文) | 被引量 : 0次 | 上传用户：zsz520

【摘 要】

：

A Fast Fourier transform approach has been presented by Carr & Madan (2009) on a single underlying asset. In this current research paper, we present fast Fourie

【作 者】

：

Philip Ajibola Bankole Olabisi 

【机 构】

：

DepartmentofMathematics

【出 处】

：

美国计算数学期刊(英文)

【发表日期】

：

2019年3期

【关键词】

：

Fast Fourier Transform (FFT) Multi-Assets Finite and Infinite Dimension of ASSET 

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论文部分内容阅读

A Fast Fourier transform approach has been presented by Carr & Madan (2009) on a single underlying asset. In this current research paper, we present fast Fourier transform algorithm for the valuation of Multi-asset Options under Economic Recession Ind

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