英文标题：
《Computing Greeks for L\\\'evy Models: The Fourier Transform Approach》
---
作者：
Federico De Olivera and Ernesto Mordecki
---
最新提交年份：
2014
---
英文摘要：
The computation of Greeks for exponential L\\\'evy models are usually approached by Malliavin Calculus and other methods, as the Likelihood Ratio and the finite difference method. In this paper we obtain exact formulas for Greeks of European options based on the Lewis formula for the option value. Therefore, it is possible to obtain accurate approximations using Fast Fourier Transform. We will present an exhaustive development of Greeks for Call options. The error is shown for all Greeks in the Black-Scholes model, where Greeks can be exactly computed. Other models used in the literature are compared, such as the Merton and Variance Gamma models. The presented formulas can reach desired accuracy because our approach generates error only by approximation of the integral.
---
中文摘要：
指数Léevy模型的计算通常采用Malliavin演算和其他方法，如似然比法和有限差分法。本文基于期权价值的刘易斯公式，得到了欧式期权的精确公式。因此，可以使用快速傅里叶变换获得精确的近似值。我们将详细介绍希腊的看涨期权。布莱克-斯科尔斯模型显示了所有希腊人的错误，在该模型中，希腊人可以精确计算。比较了文献中使用的其他模型，如默顿模型和方差伽马模型。由于我们的方法仅通过近似积分产生误差，所以所给出的公式可以达到预期的精度。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--

---
PDF下载：
-->