First- and second-order Greeks in the Heston model
Year of publication: |
2015
|
---|---|
Authors: | Chan, Jiun Hong ; Joshi, Mark S. ; Zhu, Dan |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/2015, 4, p. 19-69
|
Subject: | Greeks | Heston process | Stochastic volatility | Risk management | Original research | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Griechenland | Greece | Optionspreistheorie | Option pricing theory | Risikomanagement |
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