Computation of Greeks for asset price dynamics driven by stable and tempered stable processes (Q5397463)
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scientific article; zbMATH DE number 6260407
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| 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)
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20 February 2014
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CGMY process
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Greeks
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Lévy process
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Malliavin calculus
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Monte Carlo simulation
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sensitivity analysis
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finite difference method
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0.8367247581481934
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0.8270943760871887
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0.8013384938240051
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0.7982100248336792
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0.790356457233429
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