Michal Holcapek

[ 1 ] - Comparison of Selected Advanced Numerical Methods for Greeks Calculation of Vanilla Options

Option valuation has been a challenging issue of financial engineering and optimization for a long time. The increasing complexity of market conditions requires utilization of advanced models that, commonly, do not lead to closed-form solutions. Development of novel numerical procedures, which prove to be efficient within various option valuation problems, is therefore worthwhile. Notwithstan...