G1 - General Financial Markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T14:42:29+00:00Fourier Inversion Formulas for Multiple-Asset Option Pricing
https://www.bankofcanada.ca/2015/03/working-paper-2015-11/
Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well-known result of Duffie, Pan and Singleton (2000) shows how to invert the characteristic function to obtain a closed-form formula for their prices.2015-03-10T07:54:04+00:00enFourier Inversion Formulas for Multiple-Asset Option Pricing2015-03-10Asset pricingWorking Paper 2015-11https://www.bankofcanada.ca/wp-content/uploads/2015/03/wp2015-11.pdfFourier Inversion Formulas for Multiple-Asset Option PricingBruno FeunouErnest TafolongMarch 2015GG1G12