GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (Q3100753)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES |
scientific article |
Statements
GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (English)
0 references
21 November 2011
0 references
Bismut-Elworthy-Li type formulas
0 references
gamma processes
0 references
Girsanov transform
0 references
Malliavin calculus
0 references
time-changed Brownian motion
0 references
variance gamma processes
0 references
0 references
0 references
0 references
0 references
