VALUATION EUROPEAN OPTION USING THE FAST FOURIER TRANSFORM
In this thesis, price of European option without dividend payment will be determined by using the Fast Fourier Transform (FFT). With modified European call option pricing function by multiplying by an exponential function, so that FFT can be used to valuation European call option pricing.
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/19104 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |