题名

Monte Carlo Estimations of Greeks

DOI

10.6985/TBFQ.200503.0001

作者

張森林

关键词

Monte Carlo simulation ； options ； Black and Scholes formula ； hedge ratios

期刊名称

台灣金融財務季刊

卷期/出版年月

6卷1期（2005 / 03 / 01）

页次

1 - 10

内容语文

英文
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.
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
参考文献
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  7. Joy, C.,P. P. Boyle,K. S. Tan(1996).Quasi Monte Carlo Methods in Numerical Finance.Management Science,42,926-938.
  8. Pelsser, A.,T. C. F. Vorst(1994).The Binomial Model and the Greeks.Journal of Derivatives,1(3),45-49.
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