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

@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Anticipative calculus for Lévy processes and stochastic differential equations<sup>*</sup>
+Normal rank
@@ Property / cites work @@
+The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
+Normal rank
@@ Property / cites work @@
+Q3996311
@@ Property / cites work: Q3996311 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating Security Price Derivatives Using Simulation
+Normal rank
@@ Property / cites work @@
+Malliavin Greeks without Malliavin calculus
@@ Property / cites work: Malliavin Greeks without Malliavin calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+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 @@
+Computations of Greeks in a market with jumps via the Malliavin calculus
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte Carlo methods in finance
+Normal rank
@@ Property / cites work @@
+Q3374063
@@ Property / cites work: Q3374063 / rank @@
+Normal rank
@@ Property / cites work @@
+On Lévy processes, Malliavin calculus and market models with jumps
+Normal rank
@@ Property / cites work @@
+Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
+Normal rank
@@ Property / cites work @@
+Q4842684
@@ Property / cites work: Q4842684 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5289008
@@ Property / cites work: Q5289008 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank