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A generalisation of Malliavin weighted scheme for fast computation of the Greeks

Eric Benhamou

Publication Data

Title A generalisation of Malliavin weighted scheme for fast computation of the Greeks
Author Eric Benhamou
Contributor
Publisher LSE Financial Markets Research Centre
Publication date 2000
Publication location London
Language English

Topics

Options (Finance) :: Valuation :: Statistical methods
Options (Finance) :: Prices :: Mathematical models

Catalogue Data

OBNB ID GBA067875
ISBN 10 n/a
ISBN 13 n/a
Type BibliographicResource, Book

ISBD

P1053 26 p.
P1042 Includes bibliographical references.

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A generalisation of Malliavin weighted scheme for fast computation of the Greeks by Eric Benhamou. Published by LSE Financial Markets Research Centre in 2000. Publication and catalogue information, links to buy online and reader comments.