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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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Margin trading through hyper timeline
Ng, Siu-Ah - In: International journal of theoretical and applied finance 10 (2007) 5, pp. 801-815
Persistent link: https://www.econbiz.de/10003564644
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A new prepayment model (with default): an occupation-time derivative approach
Sharp, Nicholas J.; Johnson, Paul V.; Newton, David P.; … - In: The journal of real estate finance and economics 39 (2009) 2, pp. 118-145
Persistent link: https://www.econbiz.de/10003873975
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A closed-form exact solution for pricing variance swaps with stochastic volatility
Zhu, Song-ping; Lian, Guang-hua - In: Mathematical finance : an international journal of … 21 (2011) 2, pp. 233-256
Persistent link: https://www.econbiz.de/10008935680
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Entry timing and option value
Miller, Kent D.; Folta, Timothy B. - 1999
Persistent link: https://www.econbiz.de/10001554686
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Hedging error as generalized timing risk
Akahori, J.; Barsotti, F.; Imamura, Y. - In: Quantitative finance 23 (2023) 4, pp. 693-703
Persistent link: https://www.econbiz.de/10014304316
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Efficient computation of option price sensitivies for options of American style
Wallner, Christian; Wystup, Uwe - 2004
or model parameters, the so called Greeks. If a closed form solution for an option exists, Greeks can be computed … instable numerics or misleading results, specially for Greeks of higher order. We compare the computation of the Greeks in …
Persistent link: https://www.econbiz.de/10011293936
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Computing option price sensitivities using homogeneity and other tricks
Reiss, Oliver; Wystrup, Uwe - In: The journal of derivatives : the official publication … 9 (2001) 2, pp. 41-53
Persistent link: https://www.econbiz.de/10001634686
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An arithmetic pure-jump multi-curve interest rate model
Hess, Markus - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
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KrigHedge : Gaussian process surrogates for Delta hedging
Ludkovski, Mike; Saporito, Yuri - In: Applied mathematical finance 28 (2021) 4, pp. 330-360
Persistent link: https://www.econbiz.de/10013411700