A systematic and efficient simulation scheme for the Greeks of financial derivatives
Yuh-Dauh Lyuu, Huei-Wen Teng, Yao-Te Tseng and Sheng-Xiang Wang
| Year of publication: |
2019
|
|---|---|
| Authors: | Lyuu, Yuh-dauh ; Teng, Huei-Wen ; Tseng, Yao-Te ; Wang, Sheng-Xiang |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 7, p. 1199-1219
|
| Subject: | Credit derivatives | Dirac delta function | Greeks | Jump-diffusion processes | Monte Carlo simulation | Variance-gamma processes | Derivat | Derivative | Monte-Carlo-Simulation | Simulation | Griechenland | Greece | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1562196 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194755