Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (Q3585334): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Added link to MaRDI item.
links / mardi / namelinks / mardi / name
 

Revision as of 03:01, 5 February 2024

scientific article
Language Label Description Also known as
English
Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
scientific article

    Statements

    Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    19 August 2010
    0 references
    Ornstein-Uhlenbeck process
    0 references
    subordinators
    0 references
    stochastic volatility
    0 references
    Malliavin derivative
    0 references
    Greeks
    0 references
    Monte Carlo methods
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references