Calculations of Greeks for Jump Diffusion Processes-Reference-Cited by-同舟云学术

Calculations of Greeks for Jump Diffusion Processes

Published:2014-08-12 Issue:3 Volume:12 Page:1141-1160
ISSN:1660-5446
Container-title:Mediterranean Journal of Mathematics
language:en
Short-container-title:Mediterr. J. Math.

Author:

Mhlanga Farai Julius

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics

Link

http://link.springer.com/content/pdf/10.1007/s00009-014-0459-1.pdf

Reference25 articles.

1. Khedher A.: Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models. Stoch. Anal. Appl. 30(3), 403–425 (2012)

2. Forster, B., Lutkebohmert, E., Teichmann, J.: Calculation of the Greeks for jump-diffusions. Preprint. financial and actuarial mathematics. Technical University of Vienna (2005)

3. Ewald C-O.: Local volatility in the Heston model: a Malliavin calculus approach. J. Appl. Math. Stoch. Anal. 3, 307–322 (2004)

4. Applebaum, D.: Lévy processes and stochastic calculus. Cambridge Studies in Advanced Mathematics. Vol. 93. Cambridge University Press, Cambridge (2004)

5. Nualart, D.: Malliavin calculus and related topics. 2nd edition, Springer (2006)

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