Computation of Greeks in jump-diffusion models using discrete Malliavin calculus (Q2229106)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computation of Greeks in jump-diffusion models using discrete Malliavin calculus |
scientific article |
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Computation of Greeks in jump-diffusion models using discrete Malliavin calculus (English)
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19 February 2021
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discrete Malliavin calculus
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binomial trees
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Greeks
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European options
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jump-diffusion model
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