Glen Goodvin

FINCAD

Central City, Suite 1750

13450 102nd Ave

Surrey, British Columbia V3T 5X3

Canada

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Scholarly Papers (1)

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Recovering greeks from sensitivities

Number of pages: 24 Posted: 02 Feb 2020 Last Revised: 02 Oct 2020
Russell Goyder, Glen Goodvin and Mark Gibbs
FINCAD Corporation, FINCAD and Gibbs Consulting
Downloads 209 (269,663)

Abstract:

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Options, greeks, delta, vega, delta-hedging, adjoint algorithmic differentiation