Optimal contours and controls in semi-analytical option pricing revisited


For models with analytically available characteristic functions, Fourier inversion is an important computational method for a fast and accurate calculation of plain vanilla option prices. To improve the numerical stability of... [ view full abstract ]


  1. Roger Lord (Cardano)
  2. Christian Kahl (FINCAD)

Topic Areas

Computational Finance , Numerical Methods , Stochastic Volatility


WED-P-UI » Approximating the Volatility Smile (14:30 - Wednesday, 18th July, Ui Chadhain)

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