Dell'Era Mario, M.D. (2008): Pricing of the European Options by Spectral Theory.

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Abstract
We discuss the eﬃciency of the spectral method for computing the value of the European Call Options, which is based upon the Fourier series expansion. We propose a simple approach for computing accurate estimates. We consider the general case, in which the volatility is time dependent, but it is immediate extend our methodology at the case of constant volatility. The advantage to write the arbitrage price of the European Call Options as Fourier series, is matter of computation complexity. Infact, the methods used to evaluate options of this kind have a high value of computation complexity, furthermore, them have not the capacity to manage it. We can deﬁne, by an easy analytical relation, the computation complexity of the problem in the framework of general theory of the ”Function Analysis”, called The Spectral Theory.
Item Type:  MPRA Paper 

Original Title:  Pricing of the European Options by Spectral Theory 
English Title:  Pricing of the European Options by Spectral Theory 
Language:  English 
Keywords:  Options Pricing, Computation Complexity. 
Subjects:  G  Financial Economics > G1  General Financial Markets > G12  Asset Pricing ; Trading Volume ; Bond Interest Rates G  Financial Economics > G1  General Financial Markets > G13  Contingent Pricing ; Futures Pricing 
Item ID:  17429 
Depositing User:  Mario Dell'Era 
Date Deposited:  21 Sep 2009 12:16 
Last Modified:  27 Sep 2019 05:06 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/17429 