Matsuoka, Ryosuke; Takahashi, Akihiko; Uchida, Yoshihiko - Center for International Research on the Japanese … - 2005
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....