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

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

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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree

Yoshifumi Muroi

New - Soft cover

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