Optimal Fourier Inversion in Semi-Analytical Option Pricing

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Subfields: Finance

How researchers see this paper

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A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008, unknown): “Optimal values are determined numerically in [16].”
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (2009, methodology): “We note that the strip of regularity of the SZHW characteristic function is the same as that of the Schöbel and Zhu (1999) model, for which we refer the reader to Lord and Kahl (2007).”
A comparison of biased simulation schemes for stochastic volatility models (2010, unknown): “Finally, for a very efficient Fourier inversion technique which works for virtually all strike prices and maturities we point the reader to Lord and Kahl ( 2007 ).”
Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (2013, unknown): “The interested reader is referred to, for instance, Carr and Madan (1999, 2009) or Lord and Kahl (2007, 2010) and the references therein, as well as the recent papers by 55 Bernard et al. (2012) and Levendorskiı̆ (2012), who developed and examined in detail methods with essential improvements in…”