- Author
- Orzechowski Arkadiusz (Szkoła Główna Handlowa w Warszawie)
- Title
- Analiza efektywności obliczeniowej opcji na przykładzie modelu F. Blacka i M. Scholesa
Computational Efficiency of Option Pricing in the Black-Scholes Model - Source
- Finanse : czasopismo Komitetu Nauk o Finansach PAN, 2016, nr 1(9), s. 137-154, rys., tab., bibliogr. s. 152-153
- Keyword
- Wycena opcji, Model Blacka-Scholesa, Transformacja Fouriera
Options pricing, Black-Scholes model, Fourier Transform - Note
- summ.
- Abstract
- Celem niniejszego artykułu jest przegląd istniejących sposobów wykorzystania transformaty Fouriera w procesie określania wartości opcji waniliowych typu europejskiego oraz zaproponowanie autorskiej koncepcji, która może stanowić alternatywę w stosunku do wcześniej opracowanych podejść. (fragment tekstu)
The article presents the most important option pricing models based on Fourier transform. Additionally, alternative model of European option pricing to the previously developed concepts is derived. Then all models are compared in terms of computational speed and accuracy. Based on obtained results it can be concluded that the new model is the best way of option pricing. (original abstract) - Accessibility
- The Library of Warsaw School of Economics
The Main Library of the Wroclaw University of Economics - Full text
- Show
- Bibliography
-
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- Cited by
- ISSN
- 1899-4822
- Language
- pol
