Computation of the Delta of European Options Under Stochastic Volatility Models-Reference-Cited by-同舟云学术

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Computation of the Delta of European Options Under Stochastic Volatility Models

Published:2016 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Yolcu-Okur Yeliz,Sayer Tilman,Yilmaz Bilgi,Inkaya B. Alper

Publisher

Elsevier BV

Reference14 articles.

1. Smart Monte Carlo: various tricks using Malliavin calculus;E Benhamou;Quant. Finance,2002

2. Exact simulation of option Greeks under stochastic volatility and jump diffusion models;M Broadie;Proceedings of the 2004 Winter,2004

3. Malliavin Calculus for Lévy Processes with Applications to Finance

4. Computations of Greeks in a market with jumps via the Malliavin calculus;Y El-Khatib;Finance and Stoch,2004

5. Malliavin differentiability of a class of Feller-diffusions with relevance in finance;C O Ewald;Prob and Act Science,2012

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