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A systematic and efficient simulation scheme for the Greeks of financial derivatives
- Source :
- Quantitative Finance. 19:1199-1219
- Publication Year :
- 2019
- Publisher :
- Informa UK Limited, 2019.
-
Abstract
- Greeks are the price sensitivities of financial derivatives and are essential for pricing, speculation, risk management, and model calibration. Although the pathwise method has been popular for cal...
- Subjects :
- 050208 finance
Stochastic volatility
Computer science
business.industry
Calibration (statistics)
05 social sciences
Monte Carlo method
Dirac delta function
symbols.namesake
0502 economics and business
symbols
Econometrics
Credit derivative
050207 economics
business
Speculation
Greeks
General Economics, Econometrics and Finance
Finance
Risk management
Subjects
Details
- ISSN :
- 14697696 and 14697688
- Volume :
- 19
- Database :
- OpenAIRE
- Journal :
- Quantitative Finance
- Accession number :
- edsair.doi...........81ab49cc608dd82673b1d88430257399