Discrete Malliavin calculus and computations of greeks in the binomial tree.

Yoshifumi Muroi Shintaro Suda

Published in: Eur. J. Oper. Res. (2013)

Keyphrases

tree structure
discrete version
binary tree
discrete geometry
probability distribution
index structure
leaf nodes
discrete space
genetic algorithm
multiscale
r tree
b tree
tree structures
real numbers
tree models
tree nodes