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

Spangle

https://doi.org/10.1007/b138866In this chapter, we present a one-period security price valuation model. Although this is a very straightforward model, it already contains the structure of Malliavin calculus.

capsule

staging

https://doi.org/10.1007/b138866The pricing of options using the tree approach is discussed in this chapter. In a binomial tree approach, it is usual to calculate the price backward. We briefly discuss some other methods, usage of the Fourier transform approach. We also would like to briefly mention the computation method of Greeks for European option and American option prices.

Iatrogenic

Stroh Formalism and Rayleigh WavesIn this chapter, we give a brief explanation of a continuous-time setting. The idea of this this chapter originates from the work by Montero and Kohatsu-Higa (2003).

歪曲道理

業(yè)余愛好者

Single-Period Model,In this chapter, we present a one-period security price valuation model. Although this is a very straightforward model, it already contains the structure of Malliavin calculus.

expository

北京人起源

Application to Finance,The pricing of options using the tree approach is discussed in this chapter. In a binomial tree approach, it is usual to calculate the price backward. We briefly discuss some other methods, usage of the Fourier transform approach. We also would like to briefly mention the computation method of Greeks for European option and American option prices.

dandruff

Short Introduction to Malliavin Calculus in Continuous-Time Model,In this chapter, we give a brief explanation of a continuous-time setting. The idea of this this chapter originates from the work by Montero and Kohatsu-Higa (2003).

修飾

Spectral Binomial Tree,ce 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.