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