Fourier Inversion Formulas in Option Pricing and Insurance

By Daniel Dufresne, José Garrido, Manuel Morales. 2009

51 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/87c6fb5a20836069aaabb38d8070c910e3cf026e

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. Ernst Eberlein
2. Antonis Papapantoleon
3. Ole E. Barndorff-Nielsen
4. Robert Stelzer

In Finance

1. Antonis Papapantoleon
2. Kathrin Glau
3. Ernst Eberlein
4. Ole E. Barndorff-Nielsen
5. Sebastian Raible
6. Rüdiger Kiesel
7. N. H. Bingham
8. E. A. V. Hammerstein

Citations in the corpus

• Analysis of Fourier Transform Valuation Formulas and Applications (2008, background): “Dufresne et al. (2009) also consider the valuation of payoffs arising in insurance mathematics by Fourier methods.”