Fourier inversion formulas for multiple-asset option pricing

DOI10.1515/snde-2014-0034zbMath1506.91164OpenAlexW3125838669MaRDI QIDQ2687888

Bruno Feunou, Ernest Tafolong

Publication date: 7 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2014-0034

zbMATH Keywords

derivatives pricingFourier-Stieltjes transformmultiple triggers payoff

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Option valuation with conditional skewness
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Fourier inversion formulas in option pricing and insurance
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• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Portfolio Optimization Using Forward-Looking Information*
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Derivative Pricing With Wishart Multivariate Stochastic Volatility
• Continuous Time Wishart Process for Stochastic Risk
• [https://portal.mardi4nfdi.de/wiki/Publication:5731810 On the foundations of combinatorial theory I. Theory of M�bius Functions]