European Option Pricing with a Fast Fourier Transform Algorithm for Big Data Analysis

Engineering

• Big Data 100%
• Fast Fourier Transform Algorithm 100%
• Demonstrates 50%
• Closed Form 50%
• Numerical Experiment 50%
• Equation Model 50%
• Collected Data 50%
• Solution Method 50%
• Fast Fourier Transform 50%
• Numerical Solution 50%
• Stochastic Differential 50%
• Characteristic Function 50%

Mathematics

• Big Data Analysis 100%
• Stochastic Volatility 33%
• Underlying Asset 33%
• Fat Tail 33%