Computing Greeks for Lévy models : the fourier transform approach
Federico De Olivera and Ernesto Mordecki
| Year of publication: |
[2016]
|
|---|---|
| Authors: | Olivera, Federico de ; Mordecki, Ernesto |
| Published in: |
Trends in mathematical economics : dialogues between Southern Europe and Latin America. - Switzerland : Springer, ISBN 978-3-319-32541-5. - 2016, p. 99-121
|
| Subject: | Exponential Levy models | Option pricing | Levy processes | Derivatives | Greeks | Lewis pricing formula | Black Scholes | Merton model | Variance gamma model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Griechenland | Greece | Black-Scholes-Modell | Black-Scholes model |