Computation of Greeks for asset price dynamics driven by stable and tempered stable processes (Q5397463)
From MaRDI portal
scientific article; zbMATH DE number 6260407
Language | Label | Description | Also known as |
---|---|---|---|
English | Computation of Greeks for asset price dynamics driven by stable and tempered stable processes |
scientific article; zbMATH DE number 6260407 |
Statements
Computation of Greeks for asset price dynamics driven by stable and tempered stable processes (English)
0 references
20 February 2014
0 references
CGMY process
0 references
Greeks
0 references
Lévy process
0 references
Malliavin calculus
0 references
Monte Carlo simulation
0 references
sensitivity analysis
0 references
finite difference method
0 references
0 references