The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance (Q6477016)

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scientific article; zbMATH DE number 900059014
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The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance
scientific article; zbMATH DE number 900059014

    Statements

    publication date
    13 April 2006
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    arXiv classification
    math.PR
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    q-fin.PR
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    author
    Thomas Cass
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    Peter K. Friz
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    Identifiers

    arXiv ID
    math/0604311
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    Mathematics Subject Classification ID
    60H30
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    60J75
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    62P05
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    91B28
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