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Hedging Greeks for a portfolio of options using linear and quadratic programming
Sinha, Pankaj; Johar, Archit - In: The journal of prediction markets 4 (2010) 1, pp. 17-26
Persistent link: https://www.econbiz.de/10003989829
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Active hedging Greeks of an options portfolio integrating churning and minimization of cost of hedging using quadratic & linear programming
Sinha, Pankaj; Gupta, Akshay; Mudgal, Hemant - In: The journal of prediction markets 4 (2010) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10008856708
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Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied mathematical finance 17 (2010) 3/4, pp. 302-321
Persistent link: https://www.econbiz.de/10008653256
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Fast and accurate Greeks for the LIBOR market model
Denson, Nick; Joshi, Mark S. - In: The journal of computational finance 14 (2010/11) 4, pp. 115-140
Persistent link: https://www.econbiz.de/10009241247
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Greeks formulas for an asset price model with gamma processes
Kawai, Reiichiro; Takeuchi, Atsushi - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 723-742
Persistent link: https://www.econbiz.de/10009311612
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Calculating variable annuity liability "Greeks" using Monte Carlo simulation
Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; … - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266
Persistent link: https://www.econbiz.de/10011312287
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Hedging efficiency in the Greek options market before and after the financial crisis of 2008
Shackleton, Mark B.; Voukelatos, Nikolaos - In: Journal of multinational financial management 23 (2013) 1/2, pp. 1-18
Persistent link: https://www.econbiz.de/10009728527
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Testing Greeks and price changes in the S&P 500 options and futures contract : a regression analysis
Hilliard, Jitka - In: International review of financial analysis 26 (2013), pp. 51-58
Persistent link: https://www.econbiz.de/10009717219
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Are we using the wrong letters? : an analysis of executive stock option Greeks
Álvarez-Díez, Susanna; Baixauli-Soler, J. Samuel; … - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 237-262
Persistent link: https://www.econbiz.de/10010356934
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Multidimensional quasi-Monte Carlo Malliavin Greeks
Cufaro Petroni, Nicola; Sabino, Piergiacomo - In: Decisions in economics and finance : DEF ; a journal of … 36 (2013) 2, pp. 199-224
Persistent link: https://www.econbiz.de/10010195612