:::

詳目顯示

回上一頁
題名:Monte Carlo Estimations of Greeks
書刊名:臺灣金融財務季刊
作者:張森林 引用關係
作者(外文):Chung, San-lin
出版日期:2005
卷期:6:1
頁次:頁1-10
主題關鍵詞:Monte carlo simulationOptionsBlack and scholes formulaHedge ratios
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:14
This paper proposes a method terms Monte Carlo with Black Scholes (MCBS) method to calculate the hedge ratios (Greeks) of options. We show that the MCBS Greeks are not only more accurate but also have smaller standard deviations compared to the usual Monte Carlo method.
期刊論文
1.Joy, C.、Boyle, P. P.、Tan, K. S.(1996)。Quasi-Monte Carlo Methods in Numerical Finance。Management Science,42,926-938。  new window
2.Black, F.、Scholes, M.(1973)。The Pricing of Options and Corporate liability。Journal of Political Economy,81,637-659。  new window
3.Boyle, Phelim P.(1977)。Options: A Monte Carlo Approach。Journal of Financial Economics,4(3),323-338。  new window
4.Boyle, Phelim P.、Broadie, Mark、Glasserman, Paul(1997)。Monte Carlo Methods for Security Pricing。Journal of Economic Dynamics and Control,21(8/9),1267-1321。  new window
5.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
其他
1.Broadie, M. and Detemple, J. B.(1996)。American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods。  new window
2.Chung, S. L. and Shackleton, M.(2002)。The Binomial Black Scholes Model and the Greeks。  new window
3.Pelsser, A., and Vorst, T. C. F.(1994)。The Binomial Model and the Greeks。  new window
4.Tan, K. S. and Boyle, P. P.(2000)。Applications of Randomized Low Discrepancy Sequences to the Valuation of Complex Securities。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE