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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Eberlein, E.; Glau, K.; Papapantoleon, A. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
Analysis of Fourier Transform Valuation Formulas and Applications 
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 applica...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Applied Mathematical Finance 
Jahr:
2010 
Heft / Issue:
17/3 
Seitenangaben Beitrag:
211–240 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein