This paper proposes a hybrid Monte Carlo simulation method for pricing European options under the stochastic volatility model and three-factor model. First, are expressed as conditional expectation formula, which can be used not only reducing variance of simulations, but also calculating value Greeks easily, due to elimination weak singularity payoff option. Then, in order reduce fur...

In fact, this assumption is incorrect and, whilst the Ancient Greek astronomers made huge contributions to astronomy, their knowledge was built upon the solid foundations laid by other great cultures. The Mesopotamian [1] and Zoroastrian astronomers and astrologers, in the Fertile Crescent and the empty deserts of Persia, made many sophisticated observations and devised complex theories to desc...

The e¢ cient and accurate calculation of sensitivities of the price of …nancial derivatives with respect to perturbations of the parameters in the underlying model, the so called ‘Greeks’, remains a great practical challenge in the derivative industry. This is true regardless of whether methods for partial di¤erential equations or stochastic di¤erential equations (Monte Carlo techniques) are be...

Today there is unanimous agreement that the country’s production model must change. But Greeks are very confused about the direction of the necessary changes. For, as the recent elections revealed, the vast majority of citizens have been brainwashed into believing outrageous promises about what the Greek leviathan state can do for them. Hence, the situation may be expected to worsen, unless Gre...

In this paper we give easy-to-implement closed-form expressions for European and Asian Greeks general L2-payoff functions underlying assets in an exponential L\'evy process model with nonvanishing Brownian motion part. The results are based on Hilbert space valued Malliavin Calculus extend previous from the literature. Numerical experiments suggest, that case of a continuous payoff function, co...