Vibrato Monte Carlo and the calculation of greeks
In computational ¯nance Monte Carlo simulation can be used to calculate the correct prices of ¯nancial options, and to compute the values of the as- sociated Greeks (the derivatives of the option price with respect to certain input parameters). The main methods used for the calculation of Greeks are...
Main Author: | Keegan, S |
---|---|
Format: | Thesis |
Published: |
University of Oxford;Mathematics
2008
|
Similar Items
-
Vibrato Monte Carlo and the calculation of greeks
by: Keegan, S
Published: (2008) -
Investigation into Vibrato Monte Carlo for the Computation of
Greeks of Discontinuous Payoffs
by: Burgos, S
Published: (2009) -
Vibrato Monte Carlo sensitivities
by: Giles, M
Published: (2009) -
Vibrato Monte Carlo sensitivities.
by: Giles, M
Published: (2007) -
Smoking Adjoints: fast evaluation of Greeks in Monte Carlo calculations
by: Giles, M, et al.
Published: (2005)