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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
Original price was: ₹4,990.00.₹3,993.00Current price is: ₹3,993.00.
This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks.
This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks.
Additional information
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Book information
Edition
1st Edition
ISBN [Softcover]
9789811910722
Publisher
Springer
Year
2022
Pages
VIII, 106 p.
Series Title
JSS Research Series in Statistics
Language
English
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