Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098355 | Journal of Economic Dynamics and Control | 2015 | 18 Pages |
Abstract
We propose a new algorithm for computing the Greeks in jump-diffusion settings using binomial trees. We further demonstrate that the Greeks for European options converge to the Malliavin Greeks in the continuous time model. Our proposed algorithm is efficient, because the price and the Greeks (Delta, Gamma, Vega, and Rho) can be computed simultaneously. Computation of the Greeks for American options is also discussed.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Shintaro Suda, Yoshifumi Muroi,