کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077690 | 1374145 | 2006 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Dynamic greeks
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The sensitivity of a price (or premium or reserve) to changes in its arguments is given by its derivatives, in finance known as “greeks”. Differential equations for sensitivities are obtained by simply differentiating the differential equation and the side condition that uniquely determine the price function. The device opens up prospects of efficient computation of greeks for a wide range of price functions in parametric models. It is applied here to examples in the Black-Merton-Scholes model and in a Markov chain model. Mathematical issues arising are, firstly, to construct the differential equation for the primary function and, secondly, to prove that the sensitivities actually exist. General resolutions to these problems seem not to be in reach, so only some special situations are discussed here.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 39, Issue 1, 1 August 2006, Pages 123-133
Journal: Insurance: Mathematics and Economics - Volume 39, Issue 1, 1 August 2006, Pages 123-133
نویسندگان
Ragnar Norberg,