Pricing Embedded Options Using Fast Fourier Transform to Compare Variance Gamma and Black-Scholes-Merton Model Efficiency

Embedded options are virtually new instruments identical to options in many aspects except their non-tradable nature. Testing the efficiency of the Variance Gamma and Black-Scholes-Merton model on these instruments would provide a vision of transitioning from the classical model with its deficiency...

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Prif Awduron:	Alireza Barati, Maryam Khalili Araghi
Fformat:	Artigo
Iaith:	Inglês
Cyhoeddwyd:	Iran Finance Association 2025-03-01
Cyfres:	Iranian Journal of Finance
Pynciau:	embedded options option pricing stochastic processes fast fourier transform variance gamma process black-scholes-merton model
Mynediad Ar-lein:	https://www.ijfifsa.ir/article_217056_eba438829509e7b2a09aaf6a7e795c66.pdf
Tagiau:	Ychwanegu Tag Dim Tagiau, Byddwch y cyntaf i dagio'r cofnod hwn!