Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (Q3585334): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 11:55, 5 March 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
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
