Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
Author:   Yoshifumi Muroi
Publisher:   Springer Verlag, Singapore
Edition:   1st ed. 2022
ISBN:  

9789811910722


Pages:   106
Publication Date:   18 April 2022
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree


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Author:   Yoshifumi Muroi
Publisher:   Springer Verlag, Singapore
Imprint:   Springer Verlag, Singapore
Edition:   1st ed. 2022
Weight:   0.191kg
ISBN:  

9789811910722


ISBN 10:   9811910723
Pages:   106
Publication Date:   18 April 2022
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Introduction.-  Single-Period Model.- Multiple Time Model.- Application to Finance.- Spectral Binomial Tree.- Short Introduction to Malliavin Calculus in Continuous Time Model.- Discrete Malliavin Greeks.

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Yoshifumi Muroi, Graduate School of Economics and Management, Tohoku University

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