Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (Q2893286)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models |
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Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (English)
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20 June 2012
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delta hedging
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jump-diffusions
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Malliavin calculus
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robustness
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stochastic volatility
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