Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation (Q5001127)
From MaRDI portal
scientific article; zbMATH DE number 7372398
Language | Label | Description | Also known as |
---|---|---|---|
English | Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation |
scientific article; zbMATH DE number 7372398 |
Statements
Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation (English)
0 references
16 July 2021
0 references
Lévy processes
0 references
estimation of Greeks
0 references
measure valued differentiation
0 references
exotic options
0 references
lookback option
0 references
Asian options
0 references