Some Simulation Results on the Computation of Delta of Path-Dependent Options Using a Discrete Version of Clark-Ocone Formula
| Autor: | Jirô Akahori, Kaori Okuma, Takafumi Amaba |
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| Rok vydání: | 2011 |
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| Zdroj: | Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications. 2011:121-126 |
| ISSN: | 2188-4749 2188-4730 |
| DOI: | 10.5687/sss.2011.121 |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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