2. Use the MATLAB functions NumJacobian, NumHessian, and FormulaBS to compute the greeks of a call option.

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2. Use the MATLAB functions NumJacobian, NumHessian, and FormulaBS to compute the greeks of a call option. For a wide range of strikes, maturities, and stock prices, compare the numerical values with the theoretical values.

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Statistical Methods For Financial Engineering

ISBN: 9781032477497

1st Edition

Authors: Bruno Remillard

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Question Posted: Oct 26, 2024 05:00 AM

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2. Use the MATLAB functions NumJacobian, NumHessian, and FormulaBS to compute the greeks of a call option. For a wide range of strikes, maturities, and stock prices, compare the numerical values with...
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2. Use the MATLAB functions NumJacobian, NumHessian, and FormulaBS to compute the greeks of a call option.

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Statistical Methods For Financial Engineering

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