(self-decomposable) marginal distribution. The method proposed, based on inversion of the characteristic function …

calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour … explosion of the characteristic function. This allows for robust and fast option pricing for almost all levels of strikes and …

principal branch, as is done in most software packages, the characteristic function can become discontinuous, leading to … logarithm. Under the same restrictions we prove that in an alternative formulation of the characteristic function the principal … show that Matytsin’s SVJJ model has a closed-form characteristic function, though the complex discontinuities that arise …

calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour … explosion of the characteristic function. This allows for robust and fast option pricing for almost all levels of strikes and …

principal branch, as is done in most software packages, the characteristic function can become discontinuous, leading to … logarithm. Under the same restrictions we prove that in an alternative formulation of the characteristic function the principal … show that Matytsin’s SVJJ model has a closed-form characteristic function, though the complex discontinuities that arise …

This paper puts forward a technique based on the characteristic function to tackle the problem of the sum of stochastic …

characteristic function of the underlying log process as a function of the volatilities of all orders. Option prices are shown to …