• Corpus ID: 14684726

Option Pricing Formulae using Fourier Transform : Theory and Application

  title={Option Pricing Formulae using Fourier Transform : Theory and Application},
  author={Martin Schmelzle},
Fourier transform techniques are playing an increasingly important role in Mathematical Finance. For arbitrary stochastic price processes for which the characteristic functions are tractable either analytically or numerically, prices for a wide range of derivatives contracts are readily available by means of Fourier inversion methods. In this paper we $rst review the convenient mathematical properties of Fourier transforms and characteristic functions, survey the most popular pricing algorithms… 
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