Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree

Beschreibung

Focuses on the resemblance between Bernoulli random variable and Brownian motion, a similarity providing deep insights into stochastic analysis

Introduces a spectral binomial tree method, a new methodology for pricing barrier options, which allows the price of barrier options to be computed much more quickly

Autor*in

Yoshifumi Muroi

Themen in »Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree«

Bernoulli Random Walk Discrete Ito Formula Binomial Tree Method Discrete Malliavin Calculus Greeks (Sensitivity of Options)

Stimmen zu »Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree«

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