Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (Q2893286): Difference between revisions
From MaRDI portal
Latest revision as of 08:35, 5 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models |
scientific article |
Statements
Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (English)
0 references
20 June 2012
0 references
delta hedging
0 references
jump-diffusions
0 references
Malliavin calculus
0 references
robustness
0 references
stochastic volatility
0 references
0 references
0 references
0 references