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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree (2022)

Contributor(s): Muroi, Yoshifumi (Author)

ISBN: 9789811910722

Publisher: Springer

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Pub Date: April 18, 2022

Lexile Code: 0000

Features: Illustrated

Target Age Group: NA to NA

Physical Info: 0.24" H x 9.21" L x 6.14" W ( 0.38 lbs) 106 pages

Series: Springerbriefs in Statistics

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Description:

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

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