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Document type:
Zeitschriftenaufsatz 
Author(s):
Eberlein, E.; Glau, K.; Papapantoleon, A. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
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 
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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