Computing Greeks for Lévy Models: The Fourier Transform Approach

DOI10.1007/978-3-319-32543-9_6zbMath1407.91247arXiv1407.1343OpenAlexW1688654971MaRDI QIDQ4606769

Federico de Olivera, Ernesto Mordecki

Publication date: 9 March 2018

Published in: Trends in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.1343

zbMATH Keywords

greeksLévy processesoption pricingderivativesvariance gamma modelBlack-Scholesexponential Lévy modelsMerton modelLewis pricing formula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Pricing exotic options in a regime switching economy: a Fourier transform method ⋮ Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities

Cites Work

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• Malliavin Greeks without Malliavin calculus
• Introductory lectures on fluctuations of Lévy processes with applications.
• Analysis of Fourier Transform Valuation Formulas and Applications
• PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS
• A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing

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