<t>I'm not going to debug your code but you might check some easy things:* First moment equals forward of stock from your characteristic function* Do you price back the forward via Carr-Madan (if you let the strike tend to 0 ... etc.)* Why don't you just use the integration functions of Matlab direc...

<t>The solution to your ODE is guaranteed to be smooth, so you have none of the branch-cut problems you'd have with closed-form characteristic functions. Only problems are that your solution may blow up (due to the non-existence of a certain moment), but that can be checked by analysing your moment-...

By calculating F1 and F2 - search through the forum, e.g. on Carr, Madan.

Interest rates can be negative e.g. if there is only electronic money...

<r>tontonkum:> 4) Be careful when manipulating complex logarithms, you could get some bad surprises > (but i guess Broadie and Kaya are dealing with that)If the characteristic function is evaluated in the right way, the complex logarithm poses no problem here:<URL url="http://papers.ssrn.com/abstrac...

And thank you for a reference I hadn't found yet! Looks useful...

Yes - don't use them 'Just' invert the cdf...

<t>Hey Tibbar,> My worry with this approach is numerical accuracy, as the FFT tends to misbehave at boundary points, plus the FFT is not that quick when you are dealing with integrals going> to infinity.If you look at the paper, the numerical accuracy of the examples considered is actually quite fin...

Yes.

Also, when you're running a book you're not going to be reviewing each trade whenever you hedge,so you'd like this rule-of-thumb to be applied automatically - entering a barrier shift is one way of doing this.Just overcharging upfront won't do the trick.

Search for Benninga on the forum... this question has come up before.

As far as online resources go I find Chen's lecture notes pretty useful in this respect.As for papers dealing with Fourier inversion, given your previous post I'm sure you've already found one paper that could be useful.

I'm sure if you ask the authors really nicely they'll send you what they have.

<r>It should be the Gaussian integer bracket as far as I remember.Nevertheless, check e.g. <URL url="http://papers.ssrn.com/abstract_id=921335">http://papers.ssrn.com/abstract_id=921335</URL> for an alternate and easier wayto work around the problems with the complex logarithm. Formulation 2 is the ...

> How about you giving it a try 1 to 2 week from now, see if you can enter a couple of results from your papers? Sounds like a good idea to me...Only problem is that it stands or falls with the no. of contributions on the same set.I've found many papers with faulty reference values...