A new computational scheme for computing Greeks by the asymptotic expansion approach
type: Item
instance of: scholarly article
title: A new computational scheme for computing Greeks by the asymptotic expansion approach
zbMATH Open document ID: 1154.91512
author: Ryosuke Matsuoka
author: Akihiko Takahashi
author: Yoshihiko Uchida
published in: Asia-Pacific Financial Markets
publication date: 2006-11-17T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 5073758
zbMATH Keywords: asymptotic expansion approach
zbMATH Keywords: option pricing
zbMATH Keywords: Greeks
zbMATH Keywords: CEV process
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: variance reduction method
MaRDI profile type: Publication
full work available at URL: s10690-006-9020-y
OpenAlex ID: W2050251961
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DOI: 10.1007/S10690-006-9020-Y
description: scientific article; zbMATH DE number 5073758