First- and second-order Greeks in the Heston model
Jiun Hong Chan, Mark Joshi and Dan Zhu
| Year of publication: |
2015
|
|---|---|
| Authors: | Chan, Jiun Hong ; Joshi, Mark S. ; Zhu, Dan |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/2015, 4, p. 19-69
|
| Subject: | Greeks | Heston process | Stochastic volatility | Risk management | Original research | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Griechenland | Greece | Risikomanagement | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2015.300 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013262933