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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree

By: Yoshifumi Muroi (Author)

Extended Catalogue

Ksh 8,650.00

Format: Paperback or Softback

ISBN-13: 9789811910722

Publisher: Springer Verlag, Singapore

Publication Date: Apr 18th, 2022

Dimension: 23.50 x 15.50 x 19.10 cms

Category: FINANCE & ACCOUNTING

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This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk.

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