A new computational scheme for computing Greeks by the asymptotic expansion approach (Q853863)
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scientific article; zbMATH DE number 5073758
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new computational scheme for computing Greeks by the asymptotic expansion approach |
scientific article; zbMATH DE number 5073758 |
Statements
A new computational scheme for computing Greeks by the asymptotic expansion approach (English)
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17 November 2006
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asymptotic expansion approach
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option pricing
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Greeks
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CEV process
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Monte Carlo simulation
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variance reduction method
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