A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach
| Year of publication: |
2004
|
|---|---|
| Authors: | Matsuoka, Ryosuke ; Takahashi, Akihiko ; Uchida, Yoshihiko |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 11.2004, 4, p. 393-430
|
| Publisher: |
Springer |
| Subject: | asymptotic expansion approach | option pricing | Greeks | CEV process | Monte Carlo simulation | variance reduction method |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005810978