Publication:3195634
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zbMath1337.91094MaRDI QIDQ3195634
Abdelaziz Nasroallah, M'hamed Eddahbi, Sidi Mohamed Lalaoui Ben Cherif
Publication date: 20 October 2015
sensitivity analysisMalliavin calculusMonte Carlo methodscompound Poisson processjump-diffusion modelsGreeks
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)