Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree (JSS Research Series in Statistics)

Muroi, Yoshifumi

ISBN 10: 9811910723 / ISBN 13: 9789811910722

Published by Springer, 2022

About this Item

Seller Inventory # I-9789811910722

Bibliographic Details

Title: Computation of Greeks Using the Discrete ...

Publisher: Springer

Publication Date: 2022

Binding: Soft cover

Condition: New

About this title

Synopsis:

Focuses on the resemblance between Bernoulli random variable and Brownian motion, a similarity providing deep insights into stochastic analysis

 

Introduces a spectral binomial tree method, a new methodology for pricing barrier options, which allows the price of barrier options to be computed much more quickly

 

Introduces the discrete Malliavin calculus, a new method for evaluating the sensitivity of options

 

About the Author:

Yoshifumi Muroi, Graduate School of Economics and Management, Tohoku University