"A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach"
We developed a new scheme for computing "Greeks"of derivatives by an asymptotic expansion approach. In particular, we derived analytical approximation formulae for deltas and Vegas of plain vanilla and av-erage European call options under general Markovian processes of underlying asset prices. Moreover, we introduced a new variance reduction method of Monte Carlo simulations based on the asymptotic expansion scheme. Finally, several numerical examples under CEV processes confirmed the validity of our method.
Year of publication: |
2005-09
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Authors: | Matsuoka, Ryosuke ; Takahashi, Akihiko ; Uchida, Yoshihiko |
Institutions: | Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics |
Saved in:
freely available
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