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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Main Author:	(NIM: 20105002); Pembimbing: Dr. Kuntjoro Adji Sidarto, OKTAVIA
Format:	Theses
Language:	Indonesia
Online Access:	https://digilib.itb.ac.id/gdl/view/19104
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Institution:	Institut Teknologi Bandung
Language:	Indonesia

id	id-itb.:19104
spelling	id-itb.:191042017-09-27T14:41:45ZVALUATION EUROPEAN OPTION USING THE FAST FOURIER TRANSFORM (NIM: 20105002); Pembimbing: Dr. Kuntjoro Adji Sidarto, OKTAVIA Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/19104 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. text
institution	Institut Teknologi Bandung
building	Institut Teknologi Bandung Library
continent	Asia
country	Indonesia Indonesia
content_provider	Institut Teknologi Bandung
collection	Digital ITB
language	Indonesia
description	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.
format	Theses
author	(NIM: 20105002); Pembimbing: Dr. Kuntjoro Adji Sidarto, OKTAVIA
spellingShingle	(NIM: 20105002); Pembimbing: Dr. Kuntjoro Adji Sidarto, OKTAVIA VALUATION EUROPEAN OPTION USING THE FAST FOURIER TRANSFORM
author_facet	(NIM: 20105002); Pembimbing: Dr. Kuntjoro Adji Sidarto, OKTAVIA
author_sort	(NIM: 20105002); Pembimbing: Dr. Kuntjoro Adji Sidarto, OKTAVIA
title	VALUATION EUROPEAN OPTION USING THE FAST FOURIER TRANSFORM
title_short	VALUATION EUROPEAN OPTION USING THE FAST FOURIER TRANSFORM
title_full	VALUATION EUROPEAN OPTION USING THE FAST FOURIER TRANSFORM
title_fullStr	VALUATION EUROPEAN OPTION USING THE FAST FOURIER TRANSFORM
title_full_unstemmed	VALUATION EUROPEAN OPTION USING THE FAST FOURIER TRANSFORM
title_sort	valuation european option using the fast fourier transform
url	https://digilib.itb.ac.id/gdl/view/19104
_version_	1821119735002038272

VALUATION EUROPEAN OPTION USING THE FAST FOURIER TRANSFORM

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