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