Numerical computation of Theta in a jump-diffusion model by integration by parts (Q3182748): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
Property / cites work | |||
Property / cites work: QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Malliavin Monte Carlo Greeks for jump diffusions / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Applications of Malliavin calculus to Monte Carlo methods in finance / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4417321 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The Malliavin Calculus and Related Topics / rank | |||
Normal rank |
Latest revision as of 02:11, 2 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Numerical computation of Theta in a jump-diffusion model by integration by parts |
scientific article |
Statements
Numerical computation of Theta in a jump-diffusion model by integration by parts (English)
0 references
16 October 2009
0 references
applied mathematical finance
0 references
European financial markets
0 references
computational finance
0 references
financial mathematics
0 references
0 references