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  • Search: subject_exact:"Greeks"
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Year of publication
Subjects
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Greeks 74 Griechen 21 Theorie 12 Theory 11 Optionspreistheorie 9 Monte Carlo simulation 8 Option pricing theory 8 Deutschland 7 Germany 7 Greece 7 Malliavin calculus 7 Griechenland 6 Arbeitsmigranten 5 Migrant workers 5 Monte-Carlo-Simulation 5 greeks 5 Black-Scholes-Modell 4 Leisen-Reimer trees 4 Malliavin Calculus 4 Monte Carlo method 4 Monte Carlo methods 4 Option pricing 4 option pricing 4 American options 3 Analysis 3 Australia 3 Australien 3 Binomial tree 3 Black-Scholes model 3 Hedging 3 Italians 3 Italiener 3 Mathematical analysis 3 Monte-Carlo 3 Option trading 3 Options 3 Optionsgeschäft 3 Romania 3 Social integration 3 Soziale Integration 3
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Online availability
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Free 23 Undetermined 14
Type of publication
All
Article 51 Book / Working Paper 29
Type of publication (narrower categories)
All
Article in journal 23 Aufsatz in Zeitschriften 23 Graue Literatur 9 Non-commercial literature 9 Working Paper 9 Article in book 8 Aufsatz im Buch 8 Arbeitspapier 7 Abstract 1 Amtsdruckschrift 1 Article 1 Bibliographie 1 Congress report 1 Government document 1 Kongress 1 Kongressschrift 1 Parlamentaria 1
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Language
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English 48 Undetermined 25 German 6 Romanian 2 Modern Greek (1453-) 1
Persons
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Muroi, Yoshifumi 4 Suda, Shintaro 4 Wallner, Christian 4 Wystup, Uwe 4 Pang, Tao 3 Yang, Yipeng 3 Zhao, Dai 3 Arbatli, Cemal Eren 2 Benhamou, Eric 2 Glytsos, Nicholas P. 2 Gokmen, Gunes 2 Joshi, Mark S. 2 Kawai, Reiichiro 2 Rich, Judith 2 Sabino, Piergiacomo 2 Takahashi, Akihiko 2 BEVERIDGE, CHRISTOPHER 1 BOYARCHENKO, MITYA 1 Bakalis, Steve 1 Bakstein, David 1 Beheshti, M. Hossein 1 Beveridge, Christopher 1 Borovkova, Svetlana 1 Börger, Reik H. 1 COLESCA, Sofia 1 Cao, Lingyan 1 Cathcart, Mark J. 1 Chatrath, Arjun 1 Chen, Xi 1 Cherif, Sidi Mohamed Lalaoui Ben 1 Cholezas, Ioannis 1 Christie-David, Rohan 1 Cicanci, Olga 1 Coleman, Thomas F. 1 Cufaro Petroni, Nicola 1 Eddahbi, M'hamed 1 El-Khatib, Youssef 1 FRIES, CHRISTIAN P. 1 Farnoosh, Rahman 1 Foley, Vernard 1
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Institutions
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EconWPA 4 Society for Computational Economics - SCE 3 European Centre for the Development of Vocational Training 2 Department of Economics and Business, Universitat Pompeu Fabra 1 Deutsche Gesellschaft für Bevölkerungswissenschaft / Arbeitskreis Migration - Integration - Minderheiten 1 Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1 Frankfurt School of Finance and Management 1 Hochschule für Bankwirtschaft 1 Svenska Handelshögskolan <Helsinki> 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Finance 3 International Journal of Theoretical and Applied Finance (IJTAF) 3 Applied mathematical finance 2 CPQF Working Paper Series 2 Finance and Stochastics 2 Intelectuali din Balcani din Romania (sec. XVII-XIX) 2 International Journal of Financial Studies 2 International journal of theoretical and applied finance 2 International migration 2 Working paper series / Centre for Practical Quantitative Finance 2 Accounting & Taxation 1 Advances in applied economic research : proceedings of the 2016 International Conference on Applied Economics (ICOAE) 1 Annals of financial economics 1 Asia-Pacific Financial Markets 1 Astin bulletin : the journal of the International Actuarial Association 1 CEDEFOP document 1 CEDEFOP-Dokument 1 CESifo Working Paper 1 CESifo working papers 1 Cambridge journal of economics 1 Civil rights and the sociopolitical participation of migrants : special issue 1 Commerce and culture : nineteenth-century business elites 1 Computational Statistics 1 Computational economics 1 Computing in Economics and Finance 2002 1 Computing in Economics and Finance 2004 1 Computing in Economics and Finance 2006 1 Decisions in Economics and Finance 1 Decisions in economics and finance : DEF ; a journal of applied mathematics 1 Discussion papers / Centre of Planning and Economic Research 1 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1 Entrepreneurship and growth : an international historical perspective 1 Ethnic Chicago 1 European Journal of Operational Research 1 Feminist Economics 1 Finance Research Letters 1 History of Political Economy 1 International Journal of Financial Studies : open access journal 1 International Journal of Portfolio Analysis and Management 1 Istanbul Commerce University Journal of Social Sciences 1
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Sources
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ECONIS (ZBW) 44 RePEc 29 EconStor 3 USB Cologne (EcoSocSci) 3 BASE 1
Showing 1 - 50 of 80
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Minorities, Human Capital and Long-Run Development: Persistence of Armenian and Greek Influence in Turkey
Arbatli, Cemal Eren; Gokmen, Gunes - 2016
We study the long-term economic legacy of highly-skilled minorities a century after their wholesale expulsion. Using mass expulsions of Armenian and Greek communities of the Ottoman Empire in the early 20th century as a unique natural experiment of history, we show that districts with greater...
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Minorities, human capital and long-rund development : persistence of Armenian and Greek influence in Turkey
Arbatli, Cemal Eren; Gokmen, Gunes - 2016
We study the long-term economic legacy of highly-skilled minorities a century after their wholesale expulsion. Using mass expulsions of Armenian and Greek communities of the Ottoman Empire in the early 20th century as a unique natural experiment of history, we show that districts with greater...
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Convergence studies on Monte Carlo methods for pricing mortgage-backed securities
Pang, Tao; Yang, Yipeng; Zhao, Dai - In: International Journal of Financial Studies 3 (2015) 2, pp. 136-150
Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only,...
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Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
Pang, Tao; Yang, Yipeng; Zhao, Dai - In: International Journal of Financial Studies 3 (2015) 2, pp. 136-150
Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only,...
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Convergence studies on Monte Carlo methods for pricing mortgage-backed securities
Pang, Tao; Yang, Yipeng; Zhao, Dai - In: International Journal of Financial Studies : open … 3 (2015) 2, pp. 136-150
Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only,...
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Labour force participation of female youth : the role of culture
Kabunidē, Tzenē; Cholezas, Ioannis - 2015
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Greek brain drainers in Europe : an empirical study
Spanou, Dimitra; Karasabboglu, Anastasios G.; … - In: Advances in applied economic research : proceedings of …, (pp. 809-822). 2017
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Computation of Greeks using binomial tree
Muroi, Yoshifumi; Suda, Shintaro - In: Journal of mathematical finance 7 (2017) 3, pp. 597-623
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Portfolio selection with options and transaction costs
Malamud, Semyon - 2014
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Handling discontinuities in financial engineering : good path simulation and smoothing
Wang, Xiaoqun - In: Operations research 64 (2016) 2, pp. 297-314
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Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.; Zhu, Dan - In: Applied mathematical finance 23 (2016) 1/2, pp. 22-56
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The efficient application of automatic differentiation for computing gradients in financial applications
Xu, Wei; Chen, Xi; Coleman, Thomas F. - In: The journal of computational finance 19 (2016) 3, pp. 71-96
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A numerical method for discrete single barrier option pricing with time-dependent parameters
Farnoosh, Rahman; Rezazadeh, Hamidreza; Sobhani, Amirhossein - In: Computational economics 48 (2016) 1, pp. 131-145
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Portfolio formation memory
Sebehela, Tumellano - In: Annals of financial economics 11 (2016) 2, pp. 1-16
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Computing Greeks for Lévy models : the fourier transform approach
Olivera, Federico de; Mordecki, Ernesto - In: Trends in mathematical economics : dialogues between …, (pp. 99-121). 2016
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FROM ISTANBUL TO ANKARA: SEEKING THE CONSTANTINOPLE HELLENIC LITERARY SOCIETY’ LIBRARY
MACAR, Elcin - In: Istanbul Commerce University Journal of Social Sciences 23 (2013) 1, pp. 139-149
The Constantinople Hellenic Literary Society (Syllogos) was founded in 1861 to enhance the education among Ottoman Greeks and to keep their identity and it established a valuable library of its time for researchers and frequenters. Syllogos functioned as if it was "The Ministry of Education for...
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Computation of Greeks using binomial trees in a jump-diffusion model
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...
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Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro; Muroi, Yoshifumi - In: Journal of economic dynamics & control 51 (2015), pp. 93-110
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Calculating variable annuity liability "Greeks" using Monte Carlo simulation
Cathcart, Mark J. (contributor); Lok, Hsiao Yen (contributor) - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266
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Computation of Greeks for jump-diffusion models
Eddahbi, M'hamed; Cherif, Sidi Mohamed Lalaoui Ben; … - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-30
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On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko; Yamada, Toshihiro - In: Mathematics of operations research 40 (2015) 3, pp. 513-541
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Short-term options : clienteles, market segmentation, and event trading
Chatrath, Arjun; Christie-David, Rohan; Miao, Hong; … - In: Journal of banking & finance 61 (2015), pp. 237-250
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THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM
BEVERIDGE, CHRISTOPHER; JOSHI, MARK - In: International Journal of Theoretical and Applied … 17 (2014) 01, pp. 1450001-1
We study the simulation of range accrual coupons when valuing callable range accruals in the displaced-diffusion LIBOR market model (DDLMM). We introduce a number of new improvements that lead to significant efficiency improvements, and explain how to apply the adjoint-improved pathwise method...
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Explicit approximations of multi-asset option prices including Greeks
Börger, Reik H. - In: International Journal of Portfolio Analysis and Management 1 (2014) 4, pp. 314-329
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The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
Beveridge, Christopher; Joshi, Mark S. - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-47
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Sensitivity analysis for averaged asset price dynamics with gamma processes
Kawai, Reiichiro; Takeuchi, Atsushi - 2010
The main purpose of this paper is to derive unbiased Monte Carlo estimators of various sensitivity indices for an averaged asset price dynamics governed by the gamma Lévy process. The key idea is to apply a scaling property of the gamma process with respect to the Esscher density transform...
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Hedging Greeks for a portfolio of options using linear and quadratic programming
Sinha, Pankaj; Johar, Archit - Volkswirtschaftliche Fakultät, … - 2010
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma neutral by taking positions in other available options, and simultaneously minimizing the net premium to be paid for the hedging. A quadratic programming solution for the problem is...
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BOOK REVIEW: THE GREEK PRESENCE IN MEHEDINTI. AUTHORS: PAULA SCALCAU AND TUDOR RATOI
COLESCA, Sofia - In: Theoretical and Empirical Researches in Urban Management 4 (2009) 3(12), pp. 185-186
A new monograph regarding the role of the Greek element in the Romanian society has been recently published by the Greek Union of Romania. Its authors are two well-known historians from Turnu Severin: Paula Scalcau and Tudor Ratoi. The 328 pages study traces the Greek presence in the Mehedinti...
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Simulated testing of nonparametric measure changes for hedging European options
Smith, Godfrey - In: Finance Research Letters 10 (2013) 2, pp. 93-101
We test the accuracy and hedging performance of the deltas given by a range of nonparametric measure changes. The nonparametric models accurately estimate deltas across a number of asset price dynamics. The optimal nonparametric measure change displays superior estimation bias, which depends on...
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Discrete Malliavin calculus and computations of greeks in the binomial tree
Muroi, Yoshifumi; Suda, Shintaro - In: European Journal of Operational Research 231 (2013) 2, pp. 349-361
This paper proposes new methods for computation of greeks using the binomial tree and the discrete Malliavin calculus. In the last decade, the Malliavin calculus has come to be considered as one of the main tools in financial mathematics. It is particularly important in the computation of greeks...
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Multidimensional quasi-Monte Carlo Malliavin Greeks
Petroni, Nicola Cufaro; Sabino, Piergiacomo - In: Decisions in Economics and Finance 36 (2013) 2, pp. 199-224
The aim of this paper is extensively investigate the performance of the estimators for the Greeks of multidimensional complex path-dependent options obtained by the aid of Malliavin Calculus. The study analyses both the computation effort and the variance reduction in the Quasi-Monte Carlo...
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Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511
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Entrepreneurs and businessmen in Greece during the long ninteenth century
Foreman-Peck, James S.; Pepelasis, Ioanna Sapho - In: Entrepreneurship and growth : an international …, (pp. 49-68). 2013
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Multidimensional quasi-Monte Carlo Malliavin Greeks
Cufaro Petroni, Nicola; Sabino, Piergiacomo - In: Decisions in economics and finance : DEF ; a journal of … 36 (2013) 2, pp. 199-224
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Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
Kawai, Reiichiro - In: Computational Statistics 27 (2012) 4, pp. 739-755
We address the problem of gradient estimation with respect to four characterizing parameters of the Meixner distribution and Lévy process. With the help of the explicit marginal probability density function, the likelihood ratio method is directly applicable, while unbiased estimators may...
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A COMPARISON OF GRADIENT ESTIMATION TECHNIQUES FOR EUROPEAN CALL OPTIONS
Cao, Lingyan; Guo, Zheng-Feng - In: Accounting & Taxation 4 (2012) 1, pp. 75-81
Assuming the underlying assets follow a Variance-Gamma (VG) process, we consider the problem of estimating gradients of a European call option by Monte Carlo simulation methods. In this paper, we compare indirect methods (finite difference techniques such as forward differences) and two direct...
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The Greek idea : the formation of national and transnational identities
Koundoura, Maria - 2012 - revised paperback ed.
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Parallels of diaspora processes in ancient Greece with contemporary Greek diaspora centres : the case of the Greek-Australian diaspora
Hugo, Graeme; Bakalis, Steve; Joiner, Therese - In: Leadership through the classics : learning management …, (pp. 525-538). 2012
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PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS
FRIES, CHRISTIAN P.; JOSHI, MARK S. - In: International Journal of Theoretical and Applied … 14 (2011) 02, pp. 197-219
In this paper, we present a generic method for the Monte-Carlo pricing of (generalized) auto-callable products (aka. trigger products), i.e., products for which the payout function features a discontinuity with a (possibly) stochastic location (the trigger) and value (the payout).The Monte-Carlo...
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Unbiased and efficient Greeks of financial options
Lyuu, Yuh-Dauh; Teng, Huei-Wen - In: Finance and Stochastics 15 (2011) 1, pp. 141-181
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The entrepreneurial activity of Dimitrios and Stephanos Manos in Central Europe in the nineteenth century
Madouvalos, Ikaros - In: Commerce and culture : nineteenth-century business elites, (pp. 139-166). 2011
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Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LI...
Fries, Christian P.; Kampen, Joerg - EconWPA - 2005
We consider a generic framework for generating likelihood ratio weighted Monte Carlo simulation paths, where we use one simulation scheme K° (proxy scheme) to generate realizations and then reinterpret them as realizations of another scheme K* (target scheme) by adjusting measure (via...
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Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management
Leisen, Dietmar - Society for Computational Economics - SCE - 2004
Many derivatives prices and their Greeks are closed-form expressions in the Black-Scholes model; when the terminal distribution is a mixed lognormal, prices and Greeks for these derivatives are then a weighted average of these closed-form) expressions. They can therefore be calculated easily and...
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Efficient computation of option price sensitivities for options of American style
Wallner, Christian; Wystup, Uwe - 2004
No front-office software can survive without providing derivatives of option prices with respect to underlying market or model parameters, the so called Greeks. If a closed form solution for an option exists, Greeks can be computed analytically and they are numerically stable. However, for...
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Efficient computation of option price sensitivities for options of American style
Wallner, Christian; Wystup, Uwe - Frankfurt School of Finance and Management - 2004
No front-office software can survive without providing derivatives of option prices with respect to underlying market or model parameters, the so called Greeks. If a closed form solution for an option exists, Greeks can be computed analytically and they are numerically stable. However, for...
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Efficient computation of option price sensitivies for options of American style
Wallner, Christian; Wystup, Uwe - 2004
No front-office software can survive without providing derivatives of option prices with respect to underlying market or model parameters, the so called Greeks. If a closed form solution for an option exists, Greeks can be computed analytically and they are numerically stable. However, for...
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PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS
BOYARCHENKO, MITYA; LEVENDORSKIĬ, SERGEI - In: International Journal of Theoretical and Applied … 12 (2009) 08, pp. 1125-1170
We present a fast and accurate FFT-based method of computing the prices and sensitivities of barrier options and first-touch digital options on stocks whose log-price follows a Lévy process. The numerical results obtained via our approach are demonstrated to be in good agreement with the...
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Greek diaspora and migration since 1700 : society, politics and culture
Tziobas, Dēmētrēs (contributor) - 2009
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On Higher Derivatives of Expectations
Rozario, Robert de - EconWPA - 2003
It is understood that derivatives of an expectation $E [\phi(S(T)) | S(0) = x]$ with respect to $x$ can be expressed as $E [\phi(S(T)) \pi | S(0) = x]$, where $S(T)$ is a stochastic variable at time $T$ and $\pi$ is a stochastic weighting function (weight) independent of the form of $\phi$....
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Malliavin calculus in finance
Kohatsu, Arturo; Miquel, Montero - Department of Economics and Business, Universitat … - 2003
This article is an introduction to Malliavin Calculus for practitioners. We treat one specific application to the calculation of greeks in Finance. We consider also the kernel density method to compute greeks and an extension of the Vega index called the local vega index.
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