An enhanced path-derivative monte-carlo method for computing option greeks
By: Heartthrob Date of post: 11.06.2017
Analytic Formulae The formulae of the Greeks for a European vanilla call and put option on a single asset are tabulated below: In , Phelim Boyle pioneered the use of simulation in derivative valuation in his seminal Journal of Financial Economics paper. Interaction Help About Wikipedia Community portal Recent changes Contact page...