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...
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| Formato: | Tese |
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University of Oxford;Mathematics
2008
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