A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 11 (2004)
Issue (Month): 4 (December)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
asymptotic expansion approach; option pricing; Greeks; CEV process; Monte Carlo simulation; variance reduction method;
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- Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412.
- Akihiko Takahashi & Nakahiro Yoshida, 2005. "Monte Carlo Simulation with Asymptotic Method," CIRJE F-Series CIRJE-F-335, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Shuichiro Matsushima, 2004. "Monte Carlo Simulation with an Asymptotic Expansion in HJM Framework," CARF J-Series CARF-J-005, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Akihiko Takahashi & Nakahiro Yoshida, 2004. "An Asymptotic Expansion Scheme for Optimal Investment Problems," Statistical Inference for Stochastic Processes, Springer, vol. 7(2), pages 153-188, May.
- Masahiro Nishiba, 2013. "Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach," Asia-Pacific Financial Markets, Springer, vol. 20(2), pages 147-182, May.
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