  The Greeks Delta, Gamma and Speed are the first, second and third derivatives
of a European option with respect to the current price of the underlying asset.
The Fourier cosine series expansion method (COS method) is a numerical method
for approximating the price and the Greeks of European options. We develop a
closed-form expression of Speed for various European options in the Laplace
model and we provide sufficient conditions for the COS method to approximate
Speed. We show empirically that the COS method may produce numerically
nonsensical results if theses sufficient conditions are not met.
