Analysis of Fourier Transform Valuation Formulas and Applications

By Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon. 2008

168 citations recorded by the source corpus.

Abstract The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of the asset price process. An interplay between the conditions on the payoff function and the process arises naturally. We also extend these results to the multi-dimensional case and discuss the calculation of Greeks by Fourier transform methods. As an application, we price options on the minimum of two assets in Lévy and stochastic volatility models.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/063a51baec030e06d3be48cb0e771e2348b49a2e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Ole E. Barndorff-Nielsen
2. Peter Tankov
3. Robert Stelzer
4. Denis Belomestny
5. Andrew J. Patton
6. Yanqin Fan

In Finance

1. Robert Stelzer
2. Ole E. Barndorff-Nielsen
3. Peter Tankov
4. N. Shephard
5. Andrew J. Patton
6. V. Todorov
7. Tim Bollerslev
8. Roel C. A. Oomen

Citations in the corpus

• Multivariate supOU processes (2010, methodology): “the calculation of the prices by inverting the Laplace transform (see [14, 17, 37]).”
• Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2011, background): “This idea was first introduced to finance by Carr and Madan [11] (for European calls and puts) and later extended and generalized by many authors including [43, 37, 36, 19].”