Ernest Tafolong

Author

Staff working papers

Fourier Inversion Formulas for Multiple-Asset Option Pricing

Staff Working Paper 2015-11 Bruno Feunou, Ernest Tafolong
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.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing JEL Code(s): G, G1, G12

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