Computation of Greeks using binomial trees in a jump-diffusion model
type: Item
instance of: scholarly article
title: Computation of Greeks using binomial trees in a jump-diffusion model
zbMATH Open document ID: 1402.91815
author: Shintaro Suda
author: Yoshifumi Muroi
publication date: 2018-11-15T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6979745
zbMATH Keywords: options
zbMATH Keywords: greeks
zbMATH Keywords: jump-diffusion model
zbMATH Keywords: binomial tree
MaRDI profile type: Publication
full work available at URL: j.jedc.2014.09.032
OpenAlex ID: W2011761187
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DOI: 10.1016/J.JEDC.2014.09.032
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6979745