Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation (Q5001127)

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scientific article; zbMATH DE number 7372398
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Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation
scientific article; zbMATH DE number 7372398

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    Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation (English)
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    16 July 2021
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    Lévy processes
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    estimation of Greeks
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    measure valued differentiation
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    exotic options
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    lookback option
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    Asian options
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