Dynamic Greeks

DOI10.1016/J.INSMATHECO.2006.01.008MaRDI QIDQ2507616zbMATH OpenOpenAlexFDO

Authors Ragnar Norberg

Publication date 5 October 2006

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2006.01.008

zbMATH Keywords

sensitivity analysisdifferential equationsnumerical solutionsMarkov chain modelBlack-Merton-Scholes model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• scientific article; zbMATH DE number 1724291
• Unbiased and efficient Greeks of financial options
• Revisiting the Greeks for European and American options
• On the computation of option prices and sensitivities in the Black-Scholes-Merton model
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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 1529823 (Why is no real title available?)
• Actuarial bridges to dynamic hedging and option pricing
• Anomalous PDEs in Markov chains: domains of validity and numerical solutions
• Arbitrage Theory in Continuous Time
• Computational finance. A scientific perspective
• On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements
• Statistical models based on counting processes
• The Markov Chain Market

Cited in

(8)

• Greeks formulas for an asset price model with gamma processes
• scientific article; zbMATH DE number 1724291 (Why is no real title available?)
• Variational sensitivity analysis of parametric Markovian market models
• Portfolio sensitivity to changes in the maximum and the maximum drawdown
• A note on differentiability in a Markov chain market using stochastic flows
• Ragnar Norberg (1945–2017): an actuary of a unique kind
• Efficient price sensitivity estimation of financial derivatives by weak derivatives
• On the computation of option prices and sensitivities in the Black-Scholes-Merton model

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