Efficient computation of option price sensitivities using homogeneity and other tricks

O Reiß, U Wystup

Research output: Book/Report › Report › Scientific

Original language	Undefined/Unknown
Place of Publication	Berlin
Publisher	Weierstraß-Institut für Angewandte Analysis und Stochastik
Number of pages	24
Publication status	Published - 2000

Name
Publisher	Weierstraß-Institut für Angewandte Analysis und Stochastik

preprint 584

Keywords

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author = "O Rei{\ss} and U Wystup",

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TY - BOOK

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AU - Reiß, O

AU - Wystup, U

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KW - ZX Int.klas.verslagjaar < 2002

M3 - Report

BT - Efficient computation of option price sensitivities using homogeneity and other tricks

PB - Weierstraß-Institut für Angewandte Analysis und Stochastik

CY - Berlin

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