Computation of Greeks using binomial trees in a jump-diffusion model
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Cites work
- A jump-diffusion model for option pricing
- A novel pricing method for European options based on Fourier-cosine series expansions
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Computation of Greeks using Malliavin's calculus in jump type market models
- Discrete Malliavin calculus and computations of Greeks in the binomial tree
- Malliavin calculus applied to finance
- Numerical analysis on binomial tree methods for a jump-diffusion model.
- Option pricing when underlying stock returns are discontinuous
- Option pricing: A simplified approach
- Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- The rate of convergence of the binomial tree scheme
Cited in
(6)- Computation of Greeks for jump-diffusion models
- Discrete Malliavin calculus and computations of Greeks in the binomial tree
- Computation of Greeks using the discrete Malliavin calculus and binomial tree
- Computation of Greeks in jump-diffusion models using discrete Malliavin calculus
- Computation of Greeks using Malliavin's calculus in jump type market models
- Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes
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