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    WSC
    2004
    135views Modeling And Simulation» more  WSC 2004»
    Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
    14 years 10 months ago
    Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
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    This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
    Mark Broadie, Özgür Kaya
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