Yoshifumi Muroi

Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree (eBook, PDF)

• Format: PDF

Produktbeschreibung

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

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Produktdetails

• Verlag: Springer Nature Singapore
• Seitenzahl: 106
• Erscheinungstermin: 17. April 2022
• Englisch
• ISBN-13: 9789811910739
• Artikelnr.: 63769889

Autorenporträt

Yoshifumi Muroi, Graduate School of Economics and Management, Tohoku University

Inhaltsangabe

Introduction.- Single-Period Model.- Multiple Time Model.- Application to Finance.- Spectral Binomial Tree.- Short Introduction to Malliavin Calculus in Continuous Time Model.- Discrete Malliavin Greeks.