Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (Q2893286): Difference between revisions

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Latest revision as of 09:35, 5 July 2024

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Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models
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    Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (English)
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    20 June 2012
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    delta hedging
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    jump-diffusions
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    Malliavin calculus
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    robustness
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    stochastic volatility
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