Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion (Q2786208): Difference between revisions

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Latest revision as of 06:29, 3 July 2024

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Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
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    Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion (English)
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    21 September 2010
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    integration-by-parts formula
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    Malliavin calculus
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    normal inverse Gaussian process
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    time-changed Brownian motion
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    variance gamma process
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