Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (Q3585334): Difference between revisions

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Latest revision as of 02:17, 3 July 2024

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Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
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    Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (English)
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    19 August 2010
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    Ornstein-Uhlenbeck process
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    subordinators
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    stochastic volatility
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    Malliavin derivative
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    Greeks
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    Monte Carlo methods
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