Todos os livros

Profissional

Apps Sobre Coach Entrar Começar a ler

Quantitative Finance · Glossário

O que é Lewis formula?

Definition 24.1 Derivatives and Volatility · Capítulo 24 — Fourier Pricing and Calibration Engineering

The Lewis formula prices a European call from the characteristic function of xTx_T along the line Im⁡u=−12\operatorname{Im}u=-\frac12: with k=ln⁡(K/F)k=\ln(K/F),

C=P(0,T)(F−FKπ∫0∞Re⁡(e−iukφ(u−i2))duu2+14).C=P(0,T)\Bigl(F-\frac{\sqrt{FK}}{\pi}\int_0^\infty\operatorname{Re}\bigl(e^{-iuk}\varphi(u-\tfrac i2)\bigr)\frac{du}{u^2+\frac14}\Bigr).
Ler no capítulo →