Suda, Shintaro; Muroi, Yoshifumi - In: Journal of Economic Dynamics and Control 51 (2015) C, pp. 93-110
We propose a new algorithm for computing the Greeks in jump-diffusion settings using binomial trees. We further demonstrate that the Greeks for European options converge to the Malliavin Greeks in the continuous time model. Our proposed algorithm is efficient, because the price and the Greeks...