Numerical Algorithm for Delta of Asian Option
نویسندگان
چکیده
منابع مشابه
Numerical Algorithm for Delta of Asian Option
We study the numerical solution of the Greeks of Asian options. In particular, we derive a close form solution of Δ of Asian geometric option and use this analytical form as a control to numerically calculate Δ of Asian arithmetic option, which is known to have no explicit close form solution. We implement our proposed numerical method and compare the standard error with other classical varianc...
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ژورنال
عنوان ژورنال: The Scientific World Journal
سال: 2015
ISSN: 2356-6140,1537-744X
DOI: 10.1155/2015/692847