scientific article; zbMATH DE number 1487968

MaRDI QIDQ4495097zbMATH OpenFDO

Authors Marco Avellaneda

Publication date 5 August 2003

zbMATH Keywords

option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Signal detection and filtering (aspects of stochastic processes) (60G35)

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• Implications of parameter uncertainty on option prices
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• A comparative static analysis approach to derive Greek letters: theory and applications
• An Introduction to Financial Option Valuation
• Computation of the Greeks delta and gamma of Asian option: a Malliavin calculus approach

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