Accurate and efficient computations for the Greeks of European multi-asset options (Q5258043)
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scientific article; zbMATH DE number 6450430
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| English | Accurate and efficient computations for the Greeks of European multi-asset options |
scientific article; zbMATH DE number 6450430 |
Statements
ACCURATE AND EFFICIENT COMPUTATIONS FOR THE GREEKS OF EUROPEAN MULTI-ASSET OPTIONS (English)
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25 June 2015
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Greeks
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two-asset option
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finite difference method
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cash-or-nothing
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0.7935124039649963
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0.7853673696517944
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0.7771239280700684
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0.7745018005371094
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