【摘 要】
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The derivatives of option prices with respect to underlying parameters are commonly referred to as Greeks,which measure the sensitivities of option prices to these parameters.Estimating higher-order G
【机 构】
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University of Warwick
论文部分内容阅读
The derivatives of option prices with respect to underlying parameters are commonly referred to as Greeks,which measure the sensitivities of option prices to these parameters.Estimating higher-order Greeks is very challenging especially when the closed form solutions for option prices do not exist and the discounted payoffs functions of the options are not sufficiently smooth.The aim of this paper is to develop a new method for estimating option Greeks by using random parameters and least squares regression.Our approach has several attractive features.
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