Analysis of Fourier transform valuation formulas and applications

Ernst Eberlein, Kathrin Glau and Antonis Papapantoleon

Papers from arXiv.org

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 L\'evy and stochastic volatility models.

Date: 2008-09, Revised 2009-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Applied Mathematical Finance 2010, Vol. 17, No. 3, 211-240

Downloads: (external link)
http://arxiv.org/pdf/0809.3405 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0809.3405

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().