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- W1540863670 abstract "A modern field of derivative valuation is based on Fourier inversion, with several techniques now available to value derivative contracts with asset dynamics that are more complex than the lognormal distribution. The simplest approach to value derivatives is based on assets that are free of arbitrage opportunities within the risk-neutral probability measure. The formalism of Bakshi and Madan and of Bates is based on solving the risk-neutral probability of exercise. The Carr and Madan framework also allows the expression of certain option Greeks in a semianalytical form. Fourier inversion of an arbitrary characteristic function can be used to value a European put or call option in a manner analogous to the classic Black–Scholes solution. The development of FFT-based valuation approaches has provided a sizeable speed advantage compared to the traditional Fourier transform techniques." @default.
- W1540863670 created "2016-06-24" @default.
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- W1540863670 date "2013-02-26" @default.
- W1540863670 modified "2023-10-17" @default.
- W1540863670 title "Fourier-Based Option Analysis" @default.
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- W1540863670 doi "https://doi.org/10.1002/9781118501788.ch16" @default.
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