Calculating the Greeks by Cubature formulas
classification
🧮 math.PR
cs.NAmath.NA
keywords
cubatureformulasderivativesgreeksvaluesaddedallowcalculate
read the original abstract
We provide cubature formulas for the calculation of derivatives of expected values in the spririt of Terry Lyons and Nicolas Victoir. In financial mathematics derivatives of option prices with respect to initial values, so called Greeks, are of particular importance as hedging parameters. Cubature formulas allow to calculate these quantities very quickly. Simple examples are added to the theoretical exposition.
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