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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree

Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree

Paperback

Business GeneralGeneral MathematicsProbability & Statistics

ISBN10: 9811910723
ISBN13: 9789811910722
Publisher: Springer
Published: Apr 18 2022
Pages: 106
Weight: 0.38
Height: 0.24 Width: 6.14 Depth: 9.21
Language: English

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

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Probability & Statistics