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In this chapter we use the Fourier transform of the risk-neutral probability density function to compute the option price. Sometimes it is hard to obtain the risk-neutral pdf for the underlying asset price. We apply the Fourier transform methods to find the option prices when the characteristic function of the risk-neutral pdf is available.

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Option Pricing by the Fourier Transform

  • 章节

  • 发表日期：

    2026年

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  • Geon Ho Choe

摘要

In this chapter we use the Fourier transform of the risk-neutral probability density function to compute the option price. Sometimes it is hard to obtain the risk-neutral pdf for the underlying asset price. We apply the Fourier transform methods to find the option prices when the characteristic function of the risk-neutral pdf is available.