European and Asian Greeks for exponential Lévy processes

DOI10.48550/arXiv.1603.00920zbMath1520.91402arXiv1603.00920MaRDI QIDQ64644

Ludger Rüschendorf, Anselm Hudde, Anselm Hudde, Ludger Rüschendorf

Publication date: 2 March 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.00920

zbMATH Keywords

Malliavin calculusjump diffusionsAsian Greeks

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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