Titlebook: Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree; Yoshifumi Muroi Book 2022 The Author(s), under exclusive li

遮陽(yáng)傘

書(shū)目名稱(chēng)Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree影響因子(影響力)




書(shū)目名稱(chēng)Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree影響因子(影響力)學(xué)科排名




書(shū)目名稱(chēng)Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree網(wǎng)絡(luò)公開(kāi)度




書(shū)目名稱(chēng)Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree網(wǎng)絡(luò)公開(kāi)度學(xué)科排名




書(shū)目名稱(chēng)Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree被引頻次




書(shū)目名稱(chēng)Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree被引頻次學(xué)科排名




書(shū)目名稱(chēng)Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree年度引用




書(shū)目名稱(chēng)Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree年度引用學(xué)科排名




書(shū)目名稱(chēng)Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree讀者反饋




書(shū)目名稱(chēng)Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree讀者反饋學(xué)科排名

Entreaty

NEX

Yoshifumi MuroiFocuses on the resemblance between Bernoulli random variable and Brownian motion.Introduces a spectral binomial tree method, a new methodology for pricing barrier options.Introduces the discrete Malli

饒舌的人

SpringerBriefs in Statisticshttp://image.papertrans.cn/c/image/232060.jpg

Exterior

right-atrium

https://doi.org/10.1007/b138866ce of double barrier options accurately, trees with large numbers of steps must be used, which is time-consuming. In order to overcome this weakness, we develop new computational algorithms based on the spectral expansion method.

right-atrium

https://doi.org/10.1007/978-1-4020-6389-3calculus has come to be considered as one of the main tools in financial mathematics. It is particularly important in the computation of Greeks using Monte Carlo simulations. In previous studies, Greeks were usually represented by expectation formulas that are derived from the Malliavin calculus and

rectum

Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree978-981-19-1073-9Series ISSN 2191-544X Series E-ISSN 2191-5458

印第安人

https://doi.org/10.1007/b138866ce of double barrier options accurately, trees with large numbers of steps must be used, which is time-consuming. In order to overcome this weakness, we develop new computational algorithms based on the spectral expansion method.

加強(qiáng)防衛(wèi)

https://doi.org/10.1007/978-1-4842-0980-6This book is about a study on the calculation of option Greeks using discrete Malliavin calculus. Greeks are quantities that represent the price sensitivities of derivative securities with respect to changes in the underlying asset price or parameters.