Alexander Zemlianov

University of Texas at Austin - Electrical and Computer Engineering Department

2317 Speedway

Austin, TX 78712

United States

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Scholarly Papers (1)

1.

Efficient Computation of Hedging Parameters for Discretely Exercisable Options

Number of pages: 45 Posted: 18 Mar 2005
Ron Kaniel, Stathis Tompaidis and Alexander Zemlianov
University of Rochester - Simon Business School, University of Texas at Austin - McCombs School of Business and University of Texas at Austin - Electrical and Computer Engineering Department
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Citation 4

Abstract:

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Option pricing, greeks, monte carlo simulation, american options