A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach

Ryosuke Matsuoka, Akihiko Takahashi and Yoshihiko Uchida

Asia-Pacific Financial Markets, 2004, vol. 11, issue 4, 393-430

Keywords: asymptotic expansion approach; option pricing; Greeks; CEV process; Monte Carlo simulation; variance reduction method (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/s10690-006-9020-y

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