# Option valuation using the fast Fourier transform

@article{Carr1999OptionVU, title={Option valuation using the fast Fourier transform}, author={Peter Carr and Dilip B. Madan}, journal={Journal of Computational Finance}, year={1999}, volume={2}, pages={61-73} }

This paper shows how the fast Fourier Transform may be used to value options when the characteristic function of the return is known analytically.

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