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Efficient computation of option price sensitivies for options of American style
Wallner, Christian; Wystup, Uwe - 2004
No front-office software can survive without providing derivatives of option prices with respect to underlying market or model parameters, the so called Greeks. If a closed form solution for an option exists, Greeks can be computed analytically and they are numerically stable. However, for...
Persistent link: https://www.econbiz.de/10011293936
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Efficient computation of option price sensitivies for options of American style
Wallner, Christian; Wystup, Uwe - 2004
Persistent link: https://www.econbiz.de/10002463980
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Convergence of arbitrage-free discrete time Markovian market models
Leitner, Johannes - 2000
Persistent link: https://www.econbiz.de/10001450616
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Convergence of arbitrage-free discrete time Markovian market models
Leitner, Johannes - 2000
We consider two sequences of Markov chains inducing equivalent measures on the discrete path space. We establish conditions under which these two measures converge weakly to measures induced on the Wiener space by weak solutions of two SDEs, which are unique in the sense of probability law. We...
Persistent link: https://www.econbiz.de/10011544749
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An introduction to computational finance
Uǧur, Ömür - 2009
Persistent link: https://www.econbiz.de/10003742360
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Tools for computational finance
Seydel, Rüdiger - 2006 - 3. ed.
Persistent link: https://www.econbiz.de/10003301721
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Simulation techniques in financial risk management : [with website]
Chan, Ngai Hang; Wong, Hoi Ying - 2015 - 2. ed.
Praise for the First Edition“…a nice, self-contained introduction to simulation and computational techniques in finance … examples to illustrate how to use simulation techniques in risk managementPractical case studies, such as the pricing of exotic … VBA and S-Plus computer code for many of the examples within the book Simulation Techniques in Financial Risk Management …
Persistent link: https://www.econbiz.de/10011283286
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Tools for computational finance
Seydel, Rüdiger - 2009 - 4. ed.
Persistent link: https://www.econbiz.de/10003801677
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Simulation techniques in financial risk management
Chan, Ngai Hang; Wong, Hoi Ying; Wong, Hoi-Ying - 2006
Persistent link: https://www.econbiz.de/10003148595
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Tools for computational finance
Seydel, Rüdiger - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001786474