Calculations of greeks for jump diffusion processes

DOI10.1007/s00009-014-0459-1zbMath1321.60168OpenAlexW2011127110MaRDI QIDQ493354

Farai Julius Mhlanga

Publication date: 3 September 2015

Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00009-014-0459-1

zbMATH Keywords

Malliavin calculusLévy processSkorokhod integralintegration by parts formulajump diffusion processesHeston modelGreeksfinancial quantities

Mathematics Subject Classification ID

Related Items (1)

Computation of Greeks in jump-diffusion models using discrete Malliavin calculus

Cites Work

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• Malliavin differentiability of the Heston volatility and applications to option pricing

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