Computing Greeks for Lévy Models: The Fourier Transform Approach (Q4606769)
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scientific article; zbMATH DE number 6848594
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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