 QuantCode Forum Index QuantFinance
Greeks calculation for autocall | Register To Post |
| Threaded | Newest First | Previous Topic | Next Topic | Bottom |
| Poster | Thread |
|---|---|
| fly | Posted on: 2010/6/30 5:27 |
Just popping in   Joined: 2010/6/22 From: Posts: 1 |
Greeks calculation for autocall Hi everybody,
I do a pricer of autocallable structure using Monte Carlo method and Local volatility model. I want to evaluate delta, vega, rho..., I think about finite difference, did someone have an idea Thank |
| quantobjects | Posted on: 2011/6/2 17:43 |
Just popping in Joined: 2010/2/22 From: Posts: 2 |
Re: Greeks calculation for autocall This article http://www.deltaquants.com/autocallable-notes.html talks about the risks of autocall
|
| Threaded | Newest First | Previous Topic | Next Topic | Top |
| Register To Post | |