An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options (Q425903): Difference between revisions
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| Property / author | |||
| Property / author: Dervis Bayazit / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6044709 / rank | |||
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| Property / zbMATH Keywords | |||
Malliavin calculus | |||
| Property / zbMATH Keywords: Malliavin calculus / rank | |||
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Monte Carlo simulations | |||
| Property / zbMATH Keywords: Monte Carlo simulations / rank | |||
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European options | |||
| Property / zbMATH Keywords: European options / rank | |||
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acceptance | |||
| Property / zbMATH Keywords: acceptance / rank | |||
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rejection method | |||
| Property / zbMATH Keywords: rejection method / rank | |||
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compound Poisson approximation | |||
| Property / zbMATH Keywords: compound Poisson approximation / rank | |||
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sensitivity analysis | |||
| Property / zbMATH Keywords: sensitivity analysis / rank | |||
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fast Fourier transform | |||
| Property / zbMATH Keywords: fast Fourier transform / rank | |||
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variance gamma process | |||
| Property / zbMATH Keywords: variance gamma process / rank | |||
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Revision as of 21:45, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options |
scientific article |
Statements
An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options (English)
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9 June 2012
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Malliavin calculus
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Monte Carlo simulations
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European options
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acceptance
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rejection method
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compound Poisson approximation
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sensitivity analysis
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fast Fourier transform
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variance gamma process
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