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q-fin.CP2023
From characteristic functions to multivariate distribution functions and European option prices by the damped COS method
Gero Junike, Hauke Stier
We provide a unified framework to obtain numerically certain quantities, such as the distribution function, absolute moments and prices of financial options, from the characteristi…
q-fin.CP2023
Failure of Fourier pricing techniques to approximate the Greeks
Tobias Behrens, Gero Junike, Wim Schoutens
The Greeks Delta and Gamma of plain vanilla options play a fundamental role in finance, e.g., in hedging or risk management. These Greeks are approximated in many models such as th…