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

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Date: 2013-08-05 02:23:08 Mathematical finance Stochastic processes Equations Numerical analysis Normal distribution Black–Scholes Discretization Variance Heston model Statistics Mathematics Mathematical analysis		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 Source URL: fbe.unimelb.edu.au Download Document from Source Website File Size: 431,95 KB Share Document on Facebook

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