Výsledky vyhledávání - "Log-normal greeks estimation"

The effects of negative interest rates on the estimation of option sensitivities: The impact of switching from a log-normal to a normal model

Autor: Martina Mulas, Simone Ligato, Pier Giuseppe Giribone

Publikováno v: International Journal of Financial Engineering. :1750015

The estimation of partial derivatives of the price in respect to the main financial variables, called Greeks, is an essential task for a trader in order to understand the sensitivity of a derivative to the input of pricing model. The study of the lev

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9695975211a3f3d81984b000a0b2c5a8
https://doi.org/10.1142/s2424786317500153

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