Papers

Here you can find an overview of all my publications, presentations and working papers.

My SSRN author page
My RePEc author page

Optimal Fourier inversion in semi-analytical option pricing

At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for different representations of the inverse Fourier integral. In this article, we present the optimal contour…

Level-slope-curvature – fact or artefact?

The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient conditions under which level, slope and curvature are present. These conditions have the nice interpretation of restricting the…

Why the rotation count algorithm works

The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all of its extensions, involve multivalued functions such as the complex logarithm. If we restrict the logarithm to its principal branch, as is done in most software packages, the characteristic function can become discontinuous, leading to completely wrong option prices if options are priced by…

Partially exact and bounded approximations for arithmetic Asian options

This paper considers the pricing of European Asian options in the Black-Scholes framework. All approaches we consider are readily extendable to the case of an Asian basket option. We consider three methods for evaluating the price of an Asian option, and contribute to all three. Firstly, we show the link between the approaches of Rogers and Shi (1995), Andreasen (1999), Hoogland…

A motivation for conditional moment matching

One can find approaches galore in the literature for the valuation of Asian basket options. When the number of underlyings is large one has to resort to bounds or approximations to value these options. In this respect, Curran (1994) and Rogers and Shi (1995) very successfully applied a conditioning approach. Recently, Lord (2005) combined their approach with the traditional ad-hoc…