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most citedAnalysis of Fourier transform valuation formulas and applications

170 citations

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q-fin.PR2008★ 170 cited

Analysis of Fourier transform valuation formulas and applications

Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon

The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option…