| 书目名称 | Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree |
| 编辑 | Yoshifumi Muroi |
| 视频video | |
| 概述 | Focuses on the resemblance between Bernoulli random variable and Brownian motion.Introduces a spectral binomial tree method, a new methodology for pricing barrier options.Introduces the discrete Malli |
| 丛书名称 | SpringerBriefs in Statistics |
| 图书封面 |  |
| 描述 | .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..The binomial tree approach is one of the most popular methods in option pricing. Although it is a fairly traditional model for option pricing, it is still widely used in financial institutions since it is tractable and easy to understand. However, the book shows that the tree approach also offers a powerful tool for deriving the Greeks for options. Greeks are quantities that represent the sensitivities of the price of derivative securities with respect to changes in the underlying asset price or parameters.. .The Malliavin calculus, the stochastic methods of variations, is one of the most popular tools used to derive Greeks. However, it is also very difficult to understand for most students and practitioners because it is based on complex mathematics. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the |
| 出版日期 | Book 2022 |
| 关键词 | Bernoulli Random Walk; Discrete Ito Formula; Binomial Tree Method; Discrete Malliavin Calculus; Greeks ( |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-981-19-1073-9 |
| isbn_softcover | 978-981-19-1072-2 |
| isbn_ebook | 978-981-19-1073-9Series ISSN 2191-544X Series E-ISSN 2191-5458 |
| issn_series | 2191-544X |
| copyright | The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2022 |
发表于 2025-3-21 19:09:32
