Spread Option Valuation and the Fast Fourier Transform

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Subfields: Finance

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A General Closed-Form Spread Option Pricing Formula (2013, unknown): “The parameter δ tunes an exponentially decaying term introduced to allow the integration in the Fourier space, as in Carr and Madan (2000) and Dempster and Hong (2002).”
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009, unknown): “Recently, transform methods have been generalized to solving somewhat more complicated option contracts, like Bermudan, American or barrier options, see, for example, [32, 21, 3, 4, 29, 41, 17, 40].”
Time-Changed Levy Processes and Option Pricing ⁄ (2002, unknown): “In particular, our framework generalizes the affine Poisson jump-diffusion economy of Duffie, Pan, and Singleton (2000) by relaxing the affine requirement and by allowing more general specifications of the jump structure.”
Analysis of Fourier Transform Valuation Formulas and Applications (2008, methodology): “Finally, in the stochastic volatility model we consider the parameters used in Dempster and Hong (2002), that is S1 0 = 96, S 2 0 = 100, σ1 = 0.”