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Carr-Madan FFT/Evidence
Method evidence record

Carr-Madan FFT

The Carr-Madan Fast Fourier Transform (1999) is a highly efficient method for computing option prices across a range of strikes using characteristic functions and FFT. It enables rapid pricing of European options under any model with a known characteristic function (Heston, Merton jumps, Variance Gamma), with computational complexity that scales logarithmically in the number of strikes.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Carr-Madan Fast Fourier Transform Option Pricing
Taxonomic method record · ml-model / quantitative-finance
  • Carr, P., & Madan, D. B. (1999). Option valuation using the fast Fourier transform. Journal of Computational Finance, 2(4), 61-73. · DOI 10.21314/JCF.1999.043
  • Lee, R. W. (2004). Option pricing by transform methods: extensions, unification, and error analysis. Journal of Computational Finance, 7(3), 51-102. · URL
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Related methods

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Used in the same domainBates Modelmachine-suggested · Relational suggestion, not evidence.Used in the same domainLocal Volatility (Dupire)machine-suggested · Relational suggestion, not evidence.Used in the same domainRisk-Neutral Valuationmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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