Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (Q3585334): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model |
scientific article |
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Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (English)
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19 August 2010
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Ornstein-Uhlenbeck process
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subordinators
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stochastic volatility
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Malliavin derivative
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Greeks
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Monte Carlo methods
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