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Option Pricing

•A Cerny, Introduction to Fast Fourier Transform in Finance, Imperial College Discussion Paper, 2004.

•Peter Carr, Dilip Madan, Option Valuation Using the Fast Fourier Transform, Journal of Computational Finance 2(4), 61-73, 1999.

•Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys, "Realized Volatility and Correlation", September 1999

•Haug, Espen Gaarder and Taleb, Nassim Nicholas,Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula (fourth version)(January 2008).
Available at SSRN: http://ssrn.com/abstract=1012075

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