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According to a study from Umea, Sweden, The efficient and accurate calculation of sensitivities Links of London the price of financial derivatives with respect to perturbations of the parameters in the underlying model, the socalled 'Greeks', remains a great practical challenge in the derivative industry. According to a study from Umea, Sweden, "The efficient and accurate calculation of sensitivities of the price of financial derivatives Links of London Charms respect to perturbations of the parameters in the underlying model, the socalled 'Greeks', remains a great practical challenge in the derivative industry. This is true regardless of whether methods for partial differential equations or stochastic differential equations Monte Carlo techniques are being used." "The computation of the 'Greeks' is essential to risk management and to the hedging of financial derivatives and typically requires substantially more computing time as compared to simply pricing the derivatives. Any numerical algorithm Monte Carlo algorithm for stochastic differential equations produces Links of London Sweetie Wide Ring timediscretization error and a statistical error in the process of pricing financial derivatives and calculating the associated 'Greeks'. In this article we show how a posteriori error estimates and adaptive methods for stochastic differential equations can be used to control both these errors in the context of pricing and hedging of financial derivatives. In particular, we derive expansions, with leading order terms which are computable in a posteriori form, of the timediscretization errors for the price and the associated 'Greeks'," wrote K. Nystrom and colleagues, Umea University. The researchers concluded "Links of London Sirens Leaf Earrings expansions allow the user to simultaneously first control the timediscretization errors in an adaptive fashion, when calculating the price, sensitivities and hedging parameters with respect to a large number of parameters, and then subsequently to ensure that the total errors are, with prescribed probability, within tolerance."

Par feng2 le mercredi 29 décembre 2010

Commentaires

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