Computation of Greeks using Malliavin's calculus in jump type market models
Author:
Affiliation:
1. INRIA Rocquencourt, MATHFI project
2. IXIS and INRIA Rocquencourt
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://projecteuclid.org/download/pdf_1/euclid.ejp/1464730545
Cited by 22 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. European and Asian Greeks for Exponential Lévy Processes;Methodology and Computing in Applied Probability;2023-03
2. Special greeks of a variance-gamma driven vasicek model;Scientific African;2023-03
3. Sensitivity of option prices via fuzzy Malliavin calculus;Fuzzy Sets and Systems;2021-11
4. Interest Rate Modelling in the Presence of Discontinuities and its Sensitivities;Annals of Science and Technology;2021-05-12
5. Importance sampling applied to Greeks for jump–diffusion models with stochastic volatility;Journal of Computational Finance;2018
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