FIRST AND SECOND ORDER GREEKS IN THE HESTON MODEL JIUN HONG CHAN AND MARK JOSHI Abstract. In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model - Heston - Document - PDFSEARCH.IO

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	FIRST AND SECOND ORDER GREEKS IN THE HESTON MODEL JIUN HONG CHAN AND MARK JOSHI Abstract. In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model Add to Reading List Document Date: 2013-08-05 02:23:08 Open Document File Size: 431,95 KB Share Result on Facebook Company Cox / / IndustryTerm financial applications / computing / / Person MARK JOSHI / Chao / HONG CHAN / Kaya / Heston Stochastic / / / Position integrated variance Rt / Rt / MODEL / / Technology simulation / / SocialTag Mathematical finance Stochastic processes Equations Numerical analysis Normal distribution Black–Scholes Discretization Variance Heston model Statistics

FIRST AND SECOND ORDER GREEKS IN THE HESTON MODEL JIUN HONG CHAN AND MARK JOSHI Abstract. In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model Add to Reading List