Optimal Fourier Inversion in Semi-Analytical Option Pricing
نویسندگان
چکیده
منابع مشابه
Optimal Fourier Inversion in Semi- analytical Option Pricing
Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for different representations of the inverse Fourier integral. In this article, we present the optimal contour of the Fourier integral, takin...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.921336