Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models (Q2893286)
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scientific article; zbMATH DE number 6048110
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| English | Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models |
scientific article; zbMATH DE number 6048110 |
Statements
Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (English)
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20 June 2012
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delta hedging
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jump-diffusions
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Malliavin calculus
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robustness
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stochastic volatility
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0.8964536786079407
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0.822544276714325
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0.7740617990493774
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0.7691838145256042
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0.7684662342071533
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