Sensitivity of option prices via fuzzy Malliavin calculus
DOI10.1016/J.FSS.2021.11.005zbMATH Open1522.91277OpenAlexW3214371080WikidataQ114015313 ScholiaQ114015313MaRDI QIDQ6058065FDOQ6058065
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Publication date: 27 October 2023
Published in: Fuzzy Sets and Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.fss.2021.11.005
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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