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Year of publication
Subject
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Greeks 95 Optionspreistheorie 33 Option pricing theory 32 Theorie 32 Theory 31 Greece 28 Griechenland 27 Griechen 22 Black-Scholes-Modell 14 Black-Scholes model 13 Monte Carlo simulation 13 USA 13 United States 13 Option trading 12 Optionsgeschäft 12 Stochastic process 11 Stochastischer Prozess 11 Derivat 10 Derivative 10 Monte-Carlo-Simulation 10 Malliavin calculus 9 Hedging 8 Volatility 8 Volatilität 8 Deutschland 7 Germany 7 Option pricing 7 greeks 7 Arbeitsmigranten 6 Migrant workers 6 option pricing 6 Leisen-Reimer trees 4 Malliavin Calculus 4 Monte Carlo method 4 Monte Carlo methods 4 Simulation 4 American options 3 Asian options 3 Australia 3 Australien 3
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Online availability
All
Undetermined 45 Free 23
Type of publication
All
Article 73 Book / Working Paper 30
Type of publication (narrower categories)
All
Article in journal 45 Aufsatz in Zeitschrift 45 Graue Literatur 10 Non-commercial literature 10 Working Paper 10 Arbeitspapier 8 Aufsatz im Buch 8 Book section 8 Conference paper 2 Konferenzbeitrag 2 Abstract 1 Amtsdruckschrift 1 Article 1 Bibliographie 1 Conference proceedings 1 Government document 1 Konferenzschrift 1
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Language
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English 71 Undetermined 25 German 6 Romanian 2 Modern Greek (1453-) 1
Author
All
Muroi, Yoshifumi 5 Suda, Shintaro 5 Wallner, Christian 4 Wystup, Uwe 4 Pang, Tao 3 Yang, Yipeng 3 Zhao, Dai 3 Arbatli, Cemal Eren 2 Benhamou, Eric 2 Cui, Zhenyu 2 Daluiso, Roberto 2 Glytsos, Nicholas P. 2 Gokmen, Gunes 2 Joshi, Mark S. 2 Kawai, Reiichiro 2 Rich, Judith 2 Sabino, Piergiacomo 2 Takahashi, Akihiko 2 Teng, Huei-Wen 2 Wang, Xiaoqun 2 Ackerer, Damien 1 Aguilar, Jean-Philippe 1 BEVERIDGE, CHRISTOPHER 1 BOYARCHENKO, MITYA 1 Bakalis, Steve 1 Bakstein, David 1 Baños, D. 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
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Institution
All
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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International journal of theoretical and applied finance 7 Finance 3 International Journal of Theoretical and Applied Finance (IJTAF) 3 Quantitative finance 3 The journal of computational finance 3 Applied mathematical finance 2 CPQF Working Paper Series 2 Finance and Stochastics 2 Intelectuali din Balcani in Romania (sec. XVII-XIX) 2 International Journal of Financial Studies 2 International migration 2 Journal of banking & finance 2 Mathematics of operations research 2 Research paper series / Swiss Finance Institute 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 Asia-Pacific journal of risk and insurance : APJRI 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 Management Science : CMS 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 Economic bulletin 1 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1 Entrepreneurship and growth : an international historical perspective 1
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Source
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ECONIS (ZBW) 67 RePEc 29 EconStor 3 USB Cologne (EcoSocSci) 3 BASE 1
Showing 1 - 50 of 103
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Pricing, risk and volatility in subordinated market models
Aguilar, Jean-Philippe; Kirkby, Justin Lars; Korbel, Jan - In: Risks : open access journal 8 (2020) 4/124, pp. 1-27
We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as...
Persistent link: https://ebtypo.dmz1.zbw/10012390928
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Binomial tree method for option pricing : discrete Carr and Madan formula approach
Muroi, Yoshifumi; Saeki, Ryota; Suda, Shintaro - In: International journal of financial engineering 8 (2021) 2, pp. 1-28
Persistent link: https://ebtypo.dmz1.zbw/10012662360
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Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng; Ma, Jingtang; Cui, Zhenyu - In: Mathematical methods of operations research : ZOR 93 (2021) 2, pp. 359-412
Persistent link: https://ebtypo.dmz1.zbw/10012548535
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Pricing Asian options with correlators
Lavagnini, Silvia - In: International journal of theoretical and applied finance 24 (2021) 8, pp. 1-44
Persistent link: https://ebtypo.dmz1.zbw/10012887425
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Second-order Monte Carlo sensitivities
Daluiso, Roberto - In: The journal of computational finance 23 (2020) 4, pp. 61-91
Persistent link: https://ebtypo.dmz1.zbw/10012212482
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Exchange options under clustered jump dynamics
Ma, Yong; Pan, Dongtao; Wang, Tianyang - In: Quantitative finance 20 (2020) 6, pp. 949-967
Persistent link: https://ebtypo.dmz1.zbw/10012262652
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Quasi-Monte Carlo-based conditional pathwise method for option Greeks
Zhang, Chaojun; Wang, Xiaoqun - In: Quantitative finance 20 (2020) 1, pp. 49-67
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Dynamic hedging strategies based on changing pricing parameters for compound ratchets
Gaillardetz, Patrice; El Khoury, Samia - In: Asia-Pacific journal of risk and insurance : APJRI 14 (2020) 1, pp. 1-15
Persistent link: https://ebtypo.dmz1.zbw/10012196944
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A note on options and bubbles under the CEV model : implications for pricing and hedging
Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Cruz, Aricson - In: Review of derivatives research 23 (2020) 3, pp. 249-272
Persistent link: https://ebtypo.dmz1.zbw/10012303226
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Hedging crash risk in optimal portfolio selection
Zhu, Shushang; Zhu, Wei; Pei, Xi; Cui, Xueting - In: Journal of banking & finance 119 (2020), pp. 1-17
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Option pricing with orthogonal polynomial expansions
Ackerer, Damien; Filipović, Damir - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011870651
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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...
Persistent link: https://ebtypo.dmz1.zbw/10011584967
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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...
Persistent link: https://ebtypo.dmz1.zbw/10011581278
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An arithmetic pure-jump multi-curve interest rate model
Hess, Markus - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-30
Persistent link: https://ebtypo.dmz1.zbw/10012183228
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A systematic and efficient simulation scheme for the Greeks of financial derivatives
Lyuu, Yuh-dauh; Teng, Huei-Wen; Tseng, Yao-Te; Wang, … - In: Quantitative finance 19 (2019) 7, pp. 1199-1219
Persistent link: https://ebtypo.dmz1.zbw/10012194755
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Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes
Rakhmonov, Firuz; Rakhmonov, Parviz - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-13
Persistent link: https://ebtypo.dmz1.zbw/10012153309
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Unbiased sensitivity estimation of one-dimensional diffusion processes
Kang, Wanmo; Lee, Jong Mun - In: Mathematics of operations research 44 (2019) 1, pp. 334-353
Persistent link: https://ebtypo.dmz1.zbw/10012001124
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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,...
Persistent link: https://ebtypo.dmz1.zbw/10011708977
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Labour force participation of female youth : the role of culture
Kabunidē, Tzenē; Cholezas, Ioannis - 2015
Persistent link: https://ebtypo.dmz1.zbw/10011341833
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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,...
Persistent link: https://ebtypo.dmz1.zbw/10011308463
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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,...
Persistent link: https://ebtypo.dmz1.zbw/10011274551
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Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume - In: The journal of computational finance 22 (2018) 2, pp. 1-34
Persistent link: https://ebtypo.dmz1.zbw/10011976655
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An integral representation of elasticity and sensitivity for stochastic volatility models
Cui, Zhenyu; Nguyen, Duy; Park, Hyungbin - In: Mathematics and financial economics 12 (2018) 2, pp. 249-274
Persistent link: https://ebtypo.dmz1.zbw/10011963852
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Algorithmic differentiation for discontinuous payoffs
Daluiso, Roberto; Facchinetti, Giorgio - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41
Persistent link: https://ebtypo.dmz1.zbw/10011891863
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Sensitivities of Asian options in the black-scholes model
Pirjol, Dan; Zhu, Lingjiong - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-25
Persistent link: https://ebtypo.dmz1.zbw/10011846502
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Computation of the delta of European options under stochastic volatility models
Yolcu-Okur, Yeliz; Sayer, Tilman; Yilmaz, Bilgi; … - In: Computational Management Science : CMS 15 (2018) 2, pp. 213-237
Persistent link: https://ebtypo.dmz1.zbw/10011876576
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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...
Persistent link: https://ebtypo.dmz1.zbw/10010714204
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Greek brain drainers in Europe : an empirical study
Spanou, Dimitra; Karasabboglu, Anastasios; Tsoukalidis, … - In: Advances in applied economic research : proceedings of …, (pp. 809-822). 2017
Persistent link: https://ebtypo.dmz1.zbw/10011745368
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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
Persistent link: https://ebtypo.dmz1.zbw/10011752400
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Computing deltas without derivatives
Baños, D.; Meyer-Brandis, T.; Proske, Frank; Duedahl, S. - In: Finance and stochastics 21 (2017) 2, pp. 509-549
Persistent link: https://ebtypo.dmz1.zbw/10011944403
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Parameter estimation risk in asset pricing and risk management : a Bayesian approach
Tunaru, Radu; Zheng, Teng - In: International review of financial analysis 53 (2017), pp. 80-93
Persistent link: https://ebtypo.dmz1.zbw/10011877849
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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
Persistent link: https://ebtypo.dmz1.zbw/10011485479
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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
Persistent link: https://ebtypo.dmz1.zbw/10011563485
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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
Persistent link: https://ebtypo.dmz1.zbw/10011646608
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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
Persistent link: https://ebtypo.dmz1.zbw/10011546983
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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
Persistent link: https://ebtypo.dmz1.zbw/10011800675
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The Greek brain drain : the new pattern of Greek emigration during the recent crisis
Lazaretu, Sophia M. - In: Economic bulletin 43 (2015), pp. 31-54
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Portfolio formation memory
Sebehela, Tumellano - In: Annals of financial economics 11 (2016) 2, pp. 1-16
Persistent link: https://ebtypo.dmz1.zbw/10011685702
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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...
Persistent link: https://ebtypo.dmz1.zbw/10008619201
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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
Persistent link: https://ebtypo.dmz1.zbw/10011474273
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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
Persistent link: https://ebtypo.dmz1.zbw/10011545291
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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
Persistent link: https://ebtypo.dmz1.zbw/10011403918
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Calculating variable annuity liability "Greeks" using Monte Carlo simulation
Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; … - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266
Persistent link: https://ebtypo.dmz1.zbw/10011312287
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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
Persistent link: https://ebtypo.dmz1.zbw/10011338705
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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...
Persistent link: https://ebtypo.dmz1.zbw/10011190671
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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...
Persistent link: https://ebtypo.dmz1.zbw/10005004946
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Portfolio selection with options and transaction costs
Malamud, Semyon - 2014
Persistent link: https://ebtypo.dmz1.zbw/10010337963
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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
Persistent link: https://ebtypo.dmz1.zbw/10010472815
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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...
Persistent link: https://ebtypo.dmz1.zbw/10010883212
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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
Persistent link: https://ebtypo.dmz1.zbw/10010363971
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