A direct method for calculating Greeks under some L
碩士 === 國立中央大學 === 統計研究所 === 102 === Empirical evidence has shown that some Levy processes provide a better model t for market option prices compared with the Black-Scholes models. Greeks are price sensitivities of financial derivatives and are essential for hedging and risk management. To calculate...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/26824t |