Accurate and efficient computations for the Greeks of European multi-asset options (Q5258043)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Accurate and efficient computations for the Greeks of European multi-asset options |
scientific article; zbMATH DE number 6450430
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
25 June 2015
0 references
Greeks
0 references
two-asset option
0 references
finite difference method
0 references
cash-or-nothing
0 references
0.7935124039649963
0 references
0.7853673696517944
0 references
0.7771239280700684
0 references
0.7745018005371094
0 references
