Options Pricing Efficiency with Fractional Fast Fourier Transform

Abstract

We adapt the global minimization algorithms to calibrate the parameter based on the characteristic function and the Fractional Fast Fourier Transform. We compare the option pricing efficiency of Black-Sholes model and Variance Gamma model. We find the option pricing efficiency of Variance Gamma outperform Black-Sholes model. Second, we adapt all the options with the moneyness and find out with the implied approach, the VG outperform the BS.