Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree

By Yoshifumi Muroi

Focuses on the resemblance between Bernoulli random variable and Brownian motion, a similarity providing deep insights into stochastic analysis

Introduces a spectral binomial tree method, a new methodology for pricing barrier options, which allows the price of barrier options to be computed much more quickly

Introduces the discrete Malliavin calculus, a new method for evaluating the sensitivity of options

• Format: Paperback
• Language: English
• ISBN: 9811910723
• ISBN13: 9789811910722
• Release Date: April 2022
• Publisher: Springer
• Length: 106 Pages
• Weight: 0.38 lbs.
• Dimensions: 0.2" x 6.1" x 9.2"