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Title:

Analysis of Fourier Transform Valuation Formulas and Applications

Document type:
Zeitschriftenaufsatz
Author(s):
Eberlein, E.; Glau, K.; Papapantoleon, A.
Non-TUM Co-author(s):
ja
Cooperation:
international
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
Journal title:
Applied Mathematical Finance
Year:
2010
Journal issue:
17/3
Pages contribution:
211–240
Reviewed:
ja
Language:
en
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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