GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (Q3100753): Difference between revisions
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Latest revision as of 16:28, 20 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES |
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GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (English)
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21 November 2011
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Bismut-Elworthy-Li type formulas
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gamma processes
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Girsanov transform
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Malliavin calculus
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time-changed Brownian motion
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variance gamma processes
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