Open Access Open Access  Restricted Access Subscription or Fee Access

Fast Fourier Transform Model for Pricing Lookback Option

Cheng Wang, Hailei Zou


First, Fourier transform of the price of Lookback option under Black-Scholes model is given. Then using Fourier inverse transform, Lookback options with different strikes are priced by Fast Fourier Transform(FFT) algorithm in one matlab programme. Not only is FFT more efficient than Monte Carlo algorithm and the usual approximate computation of integral, but with FFT, speculators can quickly grasp the variation of option prices with respect to different strikes. This can lead to more sensible investment schemes.


Lookback option; characteristic function; fourier transformation; fast fourier transformation

Full Text:



  • There are currently no refbacks.

Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information.