# 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}
}```
• Published 1999
• Journal of Computational Finance
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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