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Numerical Algorithm for Delta of Asian Option
We study the numerical solution of the Greeks of Asian options. In particular, we derive a close form solution of Δ of Asian geometric option and use this analytical form as a control to numerically calculate Δ of Asian arithmetic option, which is known to have no explicit close form solution. We im...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Hindawi Publishing Corporation
2015
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4512615/ https://www.ncbi.nlm.nih.gov/pubmed/26266271 http://dx.doi.org/10.1155/2015/692847 |