A new computational scheme for computing Greeks by the asymptotic expansion approach (Q853863)
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scientific article; zbMATH DE number 5073758
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| default for all languages | No label defined |
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| English | A new computational scheme for computing Greeks by the asymptotic expansion approach |
scientific article; zbMATH DE number 5073758 |
Statements
A new computational scheme for computing Greeks by the asymptotic expansion approach (English)
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17 November 2006
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asymptotic expansion approach
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option pricing
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Greeks
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CEV process
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Monte Carlo simulation
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variance reduction method
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0.8005861043930054
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0.7931284308433533
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0.7909334301948547
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0.7896683216094971
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0.7795068025588989
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