An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options (Q425903)
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scientific article; zbMATH DE number 6044709
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| English | An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options |
scientific article; zbMATH DE number 6044709 |
Statements
An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options (English)
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9 June 2012
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Malliavin calculus
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Monte Carlo simulations
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European options
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acceptance
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rejection method
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compound Poisson approximation
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sensitivity analysis
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fast Fourier transform
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variance gamma process
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0.90895724
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0.88073534
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0.87396324
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0.8724209
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0.8643328
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0.8634463
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0.8576251
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0.85615534
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0.85541105
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