Unbiased Estimators of the Greeks for General Diffusion Processes

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：cryloves

【摘要】

：

　　Computing derivative price sensitivities is widely applicable in financial engineering.Discretization schemes are conventionally used for the simulation of

【作者】

：

KangWanmo;

【机构】

：

KAIST

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　Computing derivative price sensitivities is widely applicable in financial engineering.Discretization schemes are conventionally used for the simulation of general diffusion models because of unknowingness of distributions associated with general diffusions.

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Unbiased Estimators of the Greeks for General Diffusion Processes

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