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Multidimensional Quasi-Monte Carlo Malliavin Greeks
Greeks, Risk-Management Quasi-Monte Carlo Methods Malliavin Calculus
2011/3/31
We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Mon...
Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae
Student's t-Distribution Based Option Sensitivities Greeks the Gosset Formulae
2010/10/18
European options can be priced when returns follow a Student's t-distribution, provided that the asset is capped in value or the distribution is truncated. We call pricing of options using a log Stude...