arXiv 0809.34052008-09q-fin.PRmath.PR

Analysis of Fourier transform valuation formulas and applications

Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon

备注：: 26 pages, 3 figures, to appear in Appl. Math. Finance
发表信息：: Applied Mathematical Finance 2010, Vol. 17, No. 3, 211-240
DOI：: 10.1080/13504860903326669

英文摘要：

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 Lévy and stochastic volatility models.

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