GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (Q3100753)

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GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
scientific article

    Statements

    title
    GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (English)
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    author
    Reiichiro Kawai
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    Atsushi Takeuchi
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    publication date
    21 November 2011
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    zbMATH Keywords
    Bismut-Elworthy-Li type formulas
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    gamma processes
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    Girsanov transform
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    Malliavin calculus
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    time-changed Brownian motion
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    variance gamma processes
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    cites work
    Q4463158
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G80
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    60H30
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    zbMATH DE Number
    5975640
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    OpenAlex ID
    W1893511823
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