Bandingkan metode

	FFT Carr-Madan	Valuasi Netral Risiko
Bidang	Keuangan Kuantitatif	Keuangan Kuantitatif
Keluarga	Machine learning	Regression model
Tahun asal	1999	1979
Pencetus	Peter Carr and Dilip B. Madan	John Harrison and David Kreps
Tipe	Valuation Algorithm	Fundamental Principle
Sumber perintis	Carr, P., & Madan, D. B. (1999). Option valuation using the fast Fourier transform. Journal of Computational Finance, 2(4), 61-73.	Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408.
Alias	FFT Pricing, Characteristic Function Method	Risk-Neutral Measure, Q-Measure
Terkait	3	4
Ringkasan	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.	Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing.