Spangle
发表于 2025-3-23 10:48:46
https://doi.org/10.1007/b138866In this chapter, we present a one-period security price valuation model. Although this is a very straightforward model, it already contains the structure of Malliavin calculus.
capsule
发表于 2025-3-23 17:04:54
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staging
发表于 2025-3-23 18:33:26
https://doi.org/10.1007/b138866The pricing of options using the tree approach is discussed in this chapter. In a binomial tree approach, it is usual to calculate the price backward. We briefly discuss some other methods, usage of the Fourier transform approach. We also would like to briefly mention the computation method of Greeks for European option and American option prices.
Iatrogenic
发表于 2025-3-23 22:54:44
Stroh Formalism and Rayleigh WavesIn this chapter, we give a brief explanation of a continuous-time setting. The idea of this this chapter originates from the work by Montero and Kohatsu-Higa (2003).
歪曲道理
发表于 2025-3-24 02:34:22
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业余爱好者
发表于 2025-3-24 10:23:21
Single-Period Model,In this chapter, we present a one-period security price valuation model. Although this is a very straightforward model, it already contains the structure of Malliavin calculus.
expository
发表于 2025-3-24 13:36:50
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北京人起源
发表于 2025-3-24 18:03:49
Application to Finance,The pricing of options using the tree approach is discussed in this chapter. In a binomial tree approach, it is usual to calculate the price backward. We briefly discuss some other methods, usage of the Fourier transform approach. We also would like to briefly mention the computation method of Greeks for European option and American option prices.
dandruff
发表于 2025-3-24 21:39:12
Short Introduction to Malliavin Calculus in Continuous-Time Model,In this chapter, we give a brief explanation of a continuous-time setting. The idea of this this chapter originates from the work by Montero and Kohatsu-Higa (2003).
修饰
发表于 2025-3-25 02:17:38
Spectral Binomial Tree,ce of double barrier options accurately, trees with large numbers of steps must be used, which is time-consuming. In order to overcome this weakness, we develop new computational algorithms based on the spectral expansion method.