Malaysian Journal of Mathematical Sciences, January 2019, Vol. 13, No. 1
Fourier-Based Approach for Power Options Valuation
Ibrahim, S. N. I. and Ng, T. W.
Corresponding Email: iqmal@upm.edu.my
Received date: 17 January 2018
Accepted date: 10 January 2019
Abstract:
In this study, we price options whose underlying asset is raised to a constant using the Fourier-Cosine (COS) method. The valuation is made
within the Black-Scholes environment, where numerical experiments show that the COS method is more efficient than other known option pricing techniques.
Keywords: Fourier-cosine, option price, power options
Indexing
