Calculations of greeks for jump diffusion processes (Q493354)
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scientific article; zbMATH DE number 6478200
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| English | Calculations of greeks for jump diffusion processes |
scientific article; zbMATH DE number 6478200 |
Statements
Calculations of greeks for jump diffusion processes (English)
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3 September 2015
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jump diffusion processes
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Greeks
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financial quantities
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Heston model
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Malliavin calculus
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Lévy process
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integration by parts formula
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Skorokhod integral
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0.8815397024154663
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0.8321911096572876
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0.8214616179466248
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0.8145157098770142
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0.8097078800201416
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