Computation of Greeks Using Binomial Tree
نویسندگان
چکیده
منابع مشابه
Computation of Greeks using Binomial Tree
This paper proposes a new efficient algorithm for the computation of Greeks for options using the binomial tree. We also show that Greeks for European options introduced in this article are asymptotically equivalent to the discrete version of Malliavin Greeks. This fact enables us to show that our Greeks converge to Malliavin Greeks in the continuous time model. The computation algorithms of Gr...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2017
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2017.73031