Computing Greeks for Lévy Models: The Fourier Transform Approach (Q4606769)
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scientific article; zbMATH DE number 6848594
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| English | Computing Greeks for Lévy Models: The Fourier Transform Approach |
scientific article; zbMATH DE number 6848594 |
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Computing Greeks for Lévy Models: The Fourier Transform Approach (English)
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9 March 2018
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exponential Lévy models
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option pricing
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Lévy processes
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derivatives
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greeks
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Lewis pricing formula
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Black-Scholes
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Merton model
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variance gamma model
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0.8889771
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0.88641566
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0.88014823
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0.8684008
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0.86785877
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0.8612928
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0.85981923
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0.85948145
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0.8585776
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