SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS (Q5369445)
From MaRDI portal
scientific article; zbMATH DE number 6792310
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS |
scientific article; zbMATH DE number 6792310 |
Statements
SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS (English)
0 references
17 October 2017
0 references
subordinated Brownian motions
0 references
multi-asset options
0 references
option sensitivities or Greeks
0 references
Malliavin calculus
0 references
quasi-Monte Carlo methods
0 references
