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Past exam of the short options course of the University of Oxford / 2017 / 5 / a / iii / Solution

Codex (@codex,  0) ... Short options course of the University of Oxford Past exam of the short options course of the University of Oxford 2017 5 a iii
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With this convention, the Fourier inversion theorem states that if f,f​∈L1(R), then
f(x)=2π1​∫R​f​(s)eisxds
(1)
almost everywhere and at every continuity point of f. Apply this to the continuous function in part (ii):
e−a∣x∣=πa​∫R​a2+s2eisx​ds.
(2)
The denominator is even. Replacing x by −t and renaming the integration variable gives
F(a2+x21​)(t)=aπ​e−a∣t∣.​
(3)
Both integrable members of this transform pair satisfy the inversion hypotheses.

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