Arbeitspapier
Fourier Inversion Formulas for Multiple-Asset Option Pricing
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. However, multiple-asset and multiple-condition derivatives such as rainbow options cannot be priced within this framework. Utilizing inversion of the Fourier transform - and resorting to neither the Black-Scholes framework nor the affine models settings - the authors provide an analytical solution for options whose payoffs depend on two or more conditions. Numerical experiments based on the multiple-asset and multiple-condition derivatives are provided to illustrate the usefulness of the proposed approach.
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Canada Working Paper ; No. 2015-11
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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Asset pricing
- Event
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Geistige Schöpfung
- (who)
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Feunou, Bruno
Tafolong, Ernest
- Event
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Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
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2015
- DOI
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doi:10.34989/swp-2015-11
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Feunou, Bruno
- Tafolong, Ernest
- Bank of Canada
Time of origin
- 2015
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