Sensitivity analysis in the infinite dimensional Heston model (Q5158590)
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scientific article; zbMATH DE number 7413689
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sensitivity analysis in the infinite dimensional Heston model |
scientific article; zbMATH DE number 7413689 |
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Sensitivity analysis in the infinite dimensional Heston model (English)
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25 October 2021
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stochastic volatility
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infinite dimensional Heston model
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infinite dimensional Ornstein-Uhlenbeck processes
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electricity markets
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forward prices
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option pricing
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sensitivity analysis
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Malliavin calculus
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Greeks
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