Revisiting the Greeks for European and American options
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Publication:5486563
zbMATH Open1191.91054MaRDI QIDQ5486563FDOQ5486563
Publication date: 11 September 2006
Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0003.html
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- Greeks computation in the option pricing problem by means of RBF-PU methods
- On density functions related to discrete time maximum of some one-dimensional diffusion processes
- Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
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- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
- Are American options European after all?
- Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
- Calculating the Greeks by cubature formulae
- When terminal facelift enforces delta constraints
- Dynamic Greeks
- Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation
- Functional Itô calculus, path-dependence and the computation of Greeks
- A new computational scheme for computing Greeks by the asymptotic expansion approach
- THE GREEKS OF INDONESIAN CALL OPTION
- An integration by parts type formula for stopping times and its application
- Smart expansion and fast calibration for jump diffusions
- European and Asian Greeks for exponential Lévy processes
- Computing deltas without derivatives
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