Q1. If a copula is expressed in terms of its moment generating function then how can this copula can be computed by using Fast Fourier Transformation?

Q2. Can we use copula to evaluate spread option prices and its marginal for option Greeks?

If yes please explain in detail.

  • 2
    $\begingroup$ This looks like a very intersting question. However, would you like to add some references e.g. to papers where you found the ideas or such? $\endgroup$
    – Richi W
    Mar 5, 2018 at 7:41


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