A new computational scheme for computing Greeks by the asymptotic expansion approach
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Publication:853863
DOI10.1007/s10690-006-9020-yzbMath1154.91512OpenAlexW2050251961MaRDI QIDQ853863
Akihiko Takahashi, Yoshihiko Uchida, Ryosuke Matsuoka
Publication date: 17 November 2006
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-006-9020-y
option pricingMonte Carlo simulationCEV processGreeksasymptotic expansion approachvariance reduction method
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- An asymptotic expansion approach to pricing financial contingent claims
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- On validity of the asymptotic expansion approach in contingent claim analysis
- Applications of Malliavin calculus to Monte Carlo methods in finance
- The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
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