Wycena opcji parabolicznych przy wykorzystaniu transformaty Fouriera
Pricing parabola options using Fourier transform

Summary/Abstract: Purpose – Comparative analysis of alternative methods of pricing options which allows to determine the value of parabolic options. Design/methodology/approach – Investigating computational accuracy and speed of BS, BS-FT1 and BSFT2 methods with different numerical schemes that can be used in the calculation process. Findings – Under assumptions of the Black-Scholes model it is hard to prove superiority of the BS-FT1 and BS-FT2 models. However, due to their universalism and flexibility, these concepts should be developed. Originality/value – A new option pricing method based on the Fourier transform can be used to value various types of derivatives in various option pricing models.

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