Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus (Q1645191)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus |
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Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus (English)
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28 June 2018
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Malliavin calculus
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Bismut-Elworthy-Li formula
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computation of Greeks
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hybrid stochastic volatility models
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