English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well known result of Duffie, Pan, and Singleton (Duffie, D., J. Pan, and K. Singleton. 2000. “Transform Analysis and Asset Pricing for Affine Jump-Diffusions.”  Econometrica  68: 1343–1376.  http://dx.doi.org/10.1111/1468-0262.00164 .) shows how to invert the characteristic function to obtain a closed-form formula for their prices. However, multiple-asset and multiple-condition derivatives such as rainbow options cannot be priced within this framework. This paper provides an analytical solution for options whose payoffs depends on two or more conditions. We take the advantage of the inversion of the Fourier transform, resorting to neither Black and Scholes’s framework, nor the affine models’s settings. Numerical experiments based on the aforementioned class of derivatives are provided to illustrate the usefulness of the proposed approach.

Fourier inversion formulas for multiple-asset option pricing