On gamma estimation via matrix kriging

DOI10.1002/NAV.21850zbMATH Open1418.91615OpenAlexW2954494731WikidataQ127779588 ScholiaQ127779588MaRDI QIDQ5229974FDOQ5229974

L. Jeff Hong, Shouyang Wang, Xin Yun, Guangxin Jiang

Publication date: 19 August 2019

Published in: Naval Research Logistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/nav.21850

Recommendations

• Double Kernel Estimation of Sensitivities
• Kernel estimation of the Greeks for options with discontinuous payoffs
• Efficient price sensitivity estimation of financial derivatives by weak derivatives
• A simulation approach to financial options Greeks estimation under Lévy processes
• Efficient VaR and CVaR measurement via stochastic kriging

zbMATH Keywords

stochastic krigingfinancial risk managementGreeksgradient estimation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

This page was built for publication: On gamma estimation via matrix kriging

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5229974)