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題名 | Monte Carlo Estimations of Greeks |
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作者姓名(中文) | 張森林; | 書刊名 | 臺灣金融財務季刊 |
卷期 | 6:1 2005.03[民94.03] |
頁次 | 頁1-10 |
專輯 | 金融商品與財務工程 |
分類號 | 562.1 |
關鍵詞 | Monte carlo simulation; Options; Black and scholes formula; Hedge ratios; |
語文 | 英文(English) |
英文摘要 | 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. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。