Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
Published Online:7 Dec 2010https://doi.org/10.1287/opre.1100.0844
Supplemental Material
opre.1100.0844-sm-ec.pdf (169 KB)
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Volume 59, Issue 1
January-February 2011
Pages iii-266
Article Information
Supplemental Material
Metrics
Information
- Received:August 01, 2008
- Accepted:February 01, 2010
- Published Online:December 07, 2010
Copyright © 2011, INFORMS
Cite as
Guangwu Liu, L. Jeff Hong, (2010) Kernel Estimation of the Greeks for Options with Discontinuous Payoffs. Operations Research 59(1):96-108.
https://doi.org/10.1287/opre.1100.0844
Keywords
