Computation of Greeks for barrier and look-back options using Malliavin calculus (Q1768196)
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scientific article; zbMATH DE number 2145754
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| English | Computation of Greeks for barrier and look-back options using Malliavin calculus |
scientific article; zbMATH DE number 2145754 |
Statements
Computation of Greeks for barrier and look-back options using Malliavin calculus (English)
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14 March 2005
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numerical computations
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integration by parts formulae
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0.850860059261322
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0.8397084474563599
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0.8362024426460266
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0.8270272016525269
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0.8264887928962708
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