Title: Computation of Greeks using binomial trees in a jump-diffusion model
Abstract: We propose a new algorithm for computing the Greeks in jump-diffusion settings using binomial trees. We further demonstrate that the Greeks for European options converge to the Malliavin Greeks in the continuous time model. Our proposed algorithm is efficient, because the price and the Greeks (Delta, Gamma, Vega, and Rho) can be computed simultaneously. Computation of the Greeks for American options is also discussed.
Publication Year: 2015
Publication Date: 2015-02-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 6
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