Efficient computation of european option prices and their sensitivities with the complex fourier series method

Highly accurate approximation pricing formulae and option Greeks are obtained for European-type options using a complex Fourier series. We assume that risky assets are driven by exponential Lévy processes and affine stochastic volatility models. We provide a succinct error analysis to demonstrate that we can achieve an exponential convergence rate in the pricing method in many cases as long as we choose the correct truncated computational...