摘要翻译：
本文的目的是提供一个系统的分析条件，使傅立叶变换估值公式是有效的一般框架；即当期权具有任意的回报函数并且依赖于资产价格过程的路径时。在支付函数的条件和过程之间的相互作用自然而然地产生了。我们还将这些结果推广到多维情况，并讨论了用傅立叶变换方法计算希腊语。作为应用，我们给出了L\'evy和随机波动率模型中两种资产最小值的期权定价。
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英文标题：
《Analysis of Fourier transform valuation formulas and applications》
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作者：
Ernst Eberlein, Kathrin Glau and Antonis Papapantoleon
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  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 has an arbitrary payoff function and depends on the path of the asset price process. An interplay between the conditions on the payoff function and the process arises naturally. We also extend these results to the multi-dimensional case, and discuss the calculation of Greeks by Fourier transform methods. As an application, we price options on the minimum of two assets in L\'evy and stochastic volatility models.
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PDF链接：
https://arxiv.org/pdf/0809.3405