Computing deltas without derivatives
D. Baños, T. Meyer-Brandis, F. Proske, S. Duedahl
| Year of publication: |
April 2017
|
|---|---|
| Authors: | Baños, D. ; Meyer-Brandis, T. ; Proske, Frank ; Duedahl, S. |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 2, p. 509-549
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| Subject: | Greeks | Delta | Option sensitivities | Malliavin calculus | Bismut-Elworthy-Li formula | Irregular diffusion coefficients | Strong solutions of stochastic differential equations | Relative L2-compactness | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model | Finanzmathematik | Mathematical finance | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-016-0321-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944403