Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus (Q1645191): Difference between revisions

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Revision as of 04:11, 5 March 2024

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Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus
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    Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus (English)
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    28 June 2018
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    Malliavin calculus
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    Bismut-Elworthy-Li formula
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    computation of Greeks
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    hybrid stochastic volatility models
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