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06-066/2 - Optimal Fourier Inversion in Semi-analytical Option Pricing


  • Authors
    Roger Lord, Erasmus Universiteit Rotterdam, and Rabobank International; Christian Kahl, University of Wuppertal, and ABN AMRO, London
  • Publication date
    July 27, 2006
  • Keywords
    option pricing; Fourier inversion; Carr-Madan; Heston; stochastic volatility; characteristic function; damping; saddlepoint approximations
  • JEL
    C63; G13