Greeks formulas for an asset price model with gamma processes (Q3100753)
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scientific article; zbMATH DE number 5975640
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| English | Greeks formulas for an asset price model with gamma processes |
scientific article; zbMATH DE number 5975640 |
Statements
GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (English)
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21 November 2011
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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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0.8270943760871887
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0.8071467280387878
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0.802974283695221
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0.7834682464599609
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