Sensitivity analysis for averaged asset price dynamics with gamma processes (Q1044013): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
Import241208061232 (talk | contribs)
Normalize DOI.
 
(One intermediate revision by one other user not shown)
Property / DOI
 
Property / DOI: 10.1016/j.spl.2009.09.010 / rank
Normal rank
 
Property / cites work
 
Property / cites work: Integration by parts formula for locally smooth laws and applications to sensitivity computations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Processes of normal inverse Gaussian type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3996311 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Calcul des variations stochastique et processus de sauts / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4735879 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Volatility for Lévy Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Malliavin Monte Carlo Greeks for jump diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computations of Greeks in a market with jumps via the Malliavin calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applications of Malliavin calculus to Monte Carlo methods in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5506181 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Variance Gamma Process and Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: The normal inverse gaussian lévy process: simulation and approximation / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.SPL.2009.09.010 / rank
 
Normal rank

Latest revision as of 14:40, 10 December 2024

scientific article
Language Label Description Also known as
English
Sensitivity analysis for averaged asset price dynamics with gamma processes
scientific article

    Statements

    Sensitivity analysis for averaged asset price dynamics with gamma processes (English)
    0 references
    0 references
    0 references
    10 December 2009
    0 references
    unbiased Monte Carlo estimators
    0 references
    sensitivity indices
    0 references
    averaged asset price dynamics
    0 references
    gamma Lévy process
    0 references
    Esscher density transform
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references