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dc.date.accessioned2013-03-12T08:17:45Z
dc.date.available2013-03-12T08:17:45Z
dc.date.issued2010en_US
dc.date.submitted2011-06-28en_US
dc.identifier.urihttp://hdl.handle.net/10852/10219
dc.description.abstractWe study the computation of the Greeks of options written on assets modelled by a multi-factor dynamics. For this purpose, we apply the conditional density method in which the knowledge of the density of one factor is enough to derive expressions for the Greeks not involving any differentiation of the payoff function. Several examples are given in applications to power and commodity markets, including numerical examples.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.titleCOMPUTATION OF GREEKS IN MULTI-FACTOR MODELS WITH APPLICATIONS TO POWER AND COMMODITY MARKETSen_US
dc.typeResearch reporten_US
dc.date.updated2012-01-19en_US
dc.creator.authorBenth, Fred Espenen_US
dc.creator.authorDi Nunno, Giuliaen_US
dc.creator.authorKhedher, Asmaen_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-28037en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo130899en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10219/1/pm05-10.pdf


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