A new computational scheme for computing Greeks by the asymptotic expansion approach

DOI10.1007/s10690-006-9020-yzbMath1154.91512OpenAlexW2050251961MaRDI QIDQ853863

Akihiko Takahashi, Yoshihiko Uchida, Ryosuke Matsuoka

Publication date: 17 November 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9020-y

zbMATH Keywords

option pricingMonte Carlo simulationCEV processGreeksasymptotic expansion approachvariance reduction method

Mathematics Subject Classification ID

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Cites Work

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• An asymptotic expansion scheme for optimal investment problems
• An asymptotic expansion approach to pricing financial contingent claims
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• On validity of the asymptotic expansion approach in contingent claim analysis
• Applications of Malliavin calculus to Monte Carlo methods in finance
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims

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