Numerical computation of Theta in a jump-diffusion model by integration by parts (Q3182748): Difference between revisions

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-Nicolas Privault
@@ Property / author: Nicolas Privault / rank @@
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+Nicolas Privault
@@ Property / author: Nicolas Privault / rank @@
+Normal rank
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W2033237854
@@ Property / OpenAlex ID: W2033237854 / rank @@
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@@ Property / cites work @@
+QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS
+Normal rank
@@ Property / cites work @@
+Malliavin Monte Carlo Greeks for jump diffusions
@@ Property / cites work: Malliavin Monte Carlo Greeks for jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte Carlo methods in finance
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@@ Property / cites work @@
+Q4417321
@@ Property / cites work: Q4417321 / rank @@
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank