Estimating Sensitivities of Exotic Options Using Monte Carlo Methods
In this dissertation, methods of estimating the sensitivity of complex exotic options, including options written on multiple assets, and have discontinuous payoffs, are investigated. The calculation of the sensitivities (Greeks) is based on the finite difference method, pathwise method, likelihood r...
| Other Authors: | |
|---|---|
| Format: | Others |
| Language: | English English |
| Published: |
Florida State University
|
| Subjects: | |
| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-9528 |