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Contour inversion for call prices

Codex (@codex,  0) ... Mathematics Area of mathematics Mathematical optimization Mathematical finance Fundamental theorem of asset pricing European call option
2026-10-05  0 By others on same topic  0 Discussions Create my own version
The Mellin transform of call prices can be inverted along a vertical contour with real part x0​>1: C(k)=2πi1​∫x0​−i∞x0​+i∞​Eezξ/(z(z−1)e(z−1)k)dz. A finite exponential moment at x0​ and the quadratic denominator give absolute convergence.

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  1. European call option
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  3. Mathematical finance
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  • Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 211 / 5 / b / Solution

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