Greeks

[ZircXes]

For specified inputs, can the model output the Greeks?

Commonly used in the markets, risk management, and regulatory reviews.

[danielhstahl]

For FSTS: greeks

For Fang-Oost:
page 9 of fang oosterlee

[danielhstahl]

I've updated the FFTOptionPricing library to include delta for both FSTS and Fang-Oost

[danielhstahl]

Just updated levy functions and pushed to aws.

Docs at index.md

[danielhstahl]

The theta will actually be fairly complicated due to the discount factor (of all things...). I wonder what the greeks that option traders actually care about are...is it more important to get gamma or theta? For example.

[danielhstahl]

Ok, I figured out the discount factor. See https://github.com/phillyfan1138/FFTOptionPricing for the latest updates. However, theta will ONLY WORK when NOT USING stochastic volatility.

[danielhstahl]

FYI, feel free to reopen..this hasn't been incorporated into the GUI yet.

[danielhstahl]

Reopening since we need to add some GUI for this

@thomasnguyen704