An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options
DOI10.1016/J.NA.2009.06.063zbMATH Open1239.91159OpenAlexW2002901566MaRDI QIDQ425903FDOQ425903
Authors: Craig A. Nolder, Derviş Bayazıt 
Publication date: 9 June 2012
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2009.06.063
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Cites Work
- Computations of Greeks in a market with jumps via the Malliavin calculus
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Computation of Greeks using Malliavin's calculus in jump type market models
- Title not available (Why is that?)
- Title not available (Why is that?)
- The Variance Gamma Process and Option Pricing
- On Lévy processes, Malliavin calculus and market models with jumps
- Numerical Computation of a Generalized Exponential Integral Function
Cited In (4)
- Computation of the Delta of European options under stochastic volatility models
- APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES
- Sensitivities of options via Malliavin calculus: applications to markets of exponential variance gamma and normal inverse Gaussian processes
- Local Vega Index and Variance Reduction Methods
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