Computing option price sensitivities using homogeneity and other tricks

Journal of Derivatives

Volumn 9, Issue 2, 2001, Pages 41-53

  Reiss, Oliver ^a   Wystup, Uwe ^b  

^a WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

^b Group Strategy   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85012242558     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2001.319174     Document Type: Article

References (11)

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3. Glasserman, P., and X. Zhao. "Fast Greeks by Simulation in Forward LIBOR Models." Journal of Computational Finance, Vol. 3, No. 1 (1999), pp. 5-39.
4. Heston, S. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options." Review of Financial Studies, Vol. 6, No. 2 (1993).
5. Pelsser, A., and T. Vorst. "The Binomial Model and the Greeks." The Journal of Derivatives, Spring 1994.
6. Plackett, R.L. "A Reduction Formula for Normal Multivariate Integrals." Biometrika, 41 (1954), pp. 351-360.
7. Shaw, W. Modelling Financial Derivatives with Mathematica. Cambridge: Cambridge University Press, 1998.
8. Shreve, S.E. "Stochastic Calculus and Finance." Carnegie Mellon University, 1996.
9. Stulz, R. "Options on the Minimum or Maximum of Two Assets." Journal of Financial Economics, 10 (1982), pp. 161-185.
10. Taleb, N. Dynamic Hedging. New York: Wiley, 1996.
11. Wystup, U. "Vanilla Options." Formula Catalogue on http://www.MathFinance.de, 1999.