Sensitivities of options via Malliavin calculus: applications to markets of exponential variance gamma and normal inverse Gaussian processes (Q5397459)
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scientific article; zbMATH DE number 6260405
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| English | Sensitivities of options via Malliavin calculus: applications to markets of exponential variance gamma and normal inverse Gaussian processes |
scientific article; zbMATH DE number 6260405 |
Statements
Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes (English)
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20 February 2014
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Malliavin calculus
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variance gamma process
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normal inverse Gaussian process
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sensitivity analysis
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inverse Fourier transform method
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0.8271652460098267
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0.8165364265441895
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0.8145954608917236
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0.8134210705757141
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0.8053979277610779
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