نتایج جستجو برای: Greeks
تعداد نتایج: 1343 فیلتر نتایج به سال:
This paper proposes a new efficient algorithm for the computation of Greeks for options using the binomial tree. We also show that Greeks for European options introduced in this article are asymptotically equivalent to the discrete version of Malliavin Greeks. This fact enables us to show that our Greeks converge to Malliavin Greeks in the continuous time model. The computation algorithms of Gr...
The Greeks are the derivatives (also known as sensitivities) of the option prices with respect to market parameters. They play an important role in financial risk management. Among many Monte Carlo methods of estimating the Greeks, the classical pathwise method requires only the pathwise information that is directly observable from simulation and is generally easier to implement than many other...
HLA alleles have been determined in individuals from the Republic of Macedonia by DNA typing and sequencing. HLA-A, -B, -DR, -DQ allele frequencies and extended haplotypes have been for the first time determined and the results compared to those of other Mediterraneans, particularly with their neighbouring Greeks. Genetic distances, neighbor-joining dendrograms and correspondence analysis have ...
under the risk-neutral measure. As usual rd denotes the domestic interest rate, rf the foreign interest rate, σ the volatility. The analysis we do is also applicable to equity options, but we take the foreign exchange market as Abstract: No front-office software can survive without providing derivatives of option prices with respect to underlying market or model parameters, the so called Greeks...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید