基于FFT的VG模型的期权定价
Pricing options with VG model using FFT
摘要：
我们讨论了各种分析和数值方法，已被用来得到的VG模型的框架内的期权价格。我们发现，一些流行的方法，例如，Carr-Madan的FFT方法可以炸毁某些值的模型参数，即使是欧式香草期权。替代方法-一个最初提出的刘易斯，和布莱克-斯科尔斯明智的方法被认为是似乎工作正常的任何值的VG参数。最后通过算例验证了方法的有效性。并讨论了所有方法的收敛性。
英文摘要：
We discuss various analytic and numerical methods that have been used to get option prices within a framework of the VG model. We show that some popular methods, for instance, Carr-Madan's FFT method could blow up for certain values of the model parameters even for an European vanilla option. Alternative methods - one originally proposed by Lewis, and Black-Scholes-wise method are considered that seem to work fine for any value of the VG parameters. Test examples are given to demonstrate efficiency of these methods. Convergency of all methods is also discussed.}
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
