Calculations of greeks for jump diffusion processes
DOI10.1007/s00009-014-0459-1zbMath1321.60168OpenAlexW2011127110MaRDI QIDQ493354
Publication date: 3 September 2015
Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00009-014-0459-1
Malliavin calculusLévy processSkorokhod integralintegration by parts formulajump diffusion processesHeston modelGreeksfinancial quantities
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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