From ae3bfdd4921278bca6b6cdcb4afb79711484cc19 Mon Sep 17 00:00:00 2001 From: hudde Date: Tue, 5 Mar 2024 14:20:06 +0100 Subject: [PATCH] #19 Improve description of shiny app --- paper.md | 15 ++++++++------- 1 file changed, 8 insertions(+), 7 deletions(-) diff --git a/paper.md b/paper.md index ee30a5c..8f50236 100644 --- a/paper.md +++ b/paper.md @@ -5,16 +5,15 @@ tags: - Option Pricing - Financial Mathematics - Malliavin Calculus -date: "27 July 2023" +bibliography: paper.bib +affiliations: +- name: University of Applied Sciences Koblenz, Germany + index: 1 authors: - name: Anselm Hudde orcid: "0000-0002-5652-2815" equal-contrib: yes affiliation: 1 -bibliography: paper.bib -affiliations: -- name: University of Applied Sciences Koblenz, Germany - index: 1 --- # Summary @@ -94,8 +93,10 @@ The interactive shiny app is started with `greeks::Greeks_UI()`: \end{center} This works for European Options, American Options, Geometric Asian Options, as well as Asian options. -For performance reasons, just the Black-Scholes model is possible, and for -some cases, the set of Greeks is limited. +Due to the computational complexity required by the jump diffusion model, making +it impractical for interactive exploration, the Shiny app only supports the much +quicker-to-compute Black-Scholes model. +For the same reason, the set of Greeks is limited depending on the option type. On the y-Axis, the option value resp. the value of the greeks are displayed, for the x-axis, several parameters like `initial_price` or `time_to_maturity` are possible.