Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models
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Publication:2893286
DOI10.1080/07362994.2012.668440zbMath1242.91188MaRDI QIDQ2893286
Publication date: 20 June 2012
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/10440
91G20: Derivative securities (option pricing, hedging, etc.)
60H07: Stochastic calculus of variations and the Malliavin calculus
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
Related Items
Calculations of greeks for jump diffusion processes, Computation of the Delta of European options under stochastic volatility models, Stochastic systems with memory and jumps
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