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Mathematical Problems in Engineering
Volume 2014, Article ID 831470, 7 pages
http://dx.doi.org/10.1155/2014/831470
Research Article

Pricing Extendible Options Using the Fast Fourier Transform

1Department of Mathematics, Faculty of Science, Universiti Putra Malaysia (UPM), 43400 Serdang, Selangor, Malaysia
2Institute for Mathematical Research, Universiti Putra Malaysia (UPM), 43400 Serdang, Selangor, Malaysia
3Centre for Computational Finance & Economic Agents, University of Essex, Colchester CO4 3SQ, UK
4Mathematical Sciences, University of KwaZulu-Natal, Westville Campus, Durban 3001, South Africa
5Essex Business School, University of Essex, Colchester CO4 3SQ, UK

Received 20 February 2014; Revised 14 May 2014; Accepted 28 May 2014; Published 16 June 2014

Academic Editor: Wei-guo Zhang

Copyright © 2014 Siti Nur Iqmal Ibrahim et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

How to Cite this Article

Siti Nur Iqmal Ibrahim, John G. O'Hara, and Nick Constantinou, “Pricing Extendible Options Using the Fast Fourier Transform,” Mathematical Problems in Engineering, vol. 2014, Article ID 831470, 7 pages, 2014. https://doi.org/10.1155/2014/831470.