Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (Q3585334)
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scientific article; zbMATH DE number 5773388
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| English | Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model |
scientific article; zbMATH DE number 5773388 |
Statements
Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (English)
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19 August 2010
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Ornstein-Uhlenbeck process
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subordinators
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stochastic volatility
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Malliavin derivative
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Greeks
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Monte Carlo methods
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0.7947537899017334
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0.7909565567970276
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0.785946786403656
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0.7808478474617004
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0.7804437279701233
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