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 (Delta, Gamma, Vega, and Rho) can be computed simultaneously …

or model parameters, the so called Greeks. If a closed form solution for an option exists, Greeks can be computed … instable numerics or misleading results, specially for Greeks of higher order. We compare the computation of the Greeks in …

simulation of Greeks in Finance. First to European-type options where formulas can be computed explicitly and therefore can serve … view for including more exotic derivatives. The Greeks are computed through Monte Carlo simulation. …