Computation of the Delta of European options under stochastic volatility models (Q1616804): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10287-018-0316-y
+Normal rank
@@ Property / OpenAlex ID @@
+W2600979152
@@ Property / OpenAlex ID: W2600979152 / rank @@
+Normal rank
@@ Property / cites work @@
+Smart Monte Carlo: various tricks using Malliavin calculus
+Normal rank
@@ Property / cites work @@
+Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Empirical properties of asset returns: stylized facts and statistical issues
+Normal rank
@@ Property / cites work @@
+Computations of Greeks in a market with jumps via the Malliavin calculus
+Normal rank
@@ Property / cites work @@
+Q4925738
@@ Property / cites work: Q4925738 / rank @@
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte Carlo methods in finance
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
+Normal rank
@@ Property / cites work @@
+Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q5493554
@@ Property / cites work: Q5493554 / rank @@
+Normal rank
@@ Property / cites work @@
+Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+On a Generalization of a Stochastic Integral
@@ Property / cites work: On a Generalization of a Stochastic Integral / rank @@
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / Wikidata QID @@
+Q129807400
@@ Property / Wikidata QID: Q129807400 / rank @@
+Normal rank