Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
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SpringerBriefs in Statistics JSS Research Series in Statistics
Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
Yoshifumi Muroi
Mathematics / Probability & Statistics / General
Focuses on the resemblance between Bernoulli random variable and Brownian motion, a similarity providing deep insights into stochastic analysis
Introduces a spectral binomial tree method, a new methodology for pricing barrier options, which allows the price of barrier options to be computed much more quickly
Introduces the discrete Malliavin calculus, a new method for evaluating the sensitivity of options
Yoshifumi Muroi, Graduate School of Economics and Management, Tohoku University
| Publication Date: | 18 April 2022 |
| Publisher: | Springer Nature Singapore |
| Imprint: | Springer |
| ISBN-13: | 9789811910722 |
| Format: | Paperback softback |
| Page Count: | 106 |