Sensitivity of option prices via fuzzy Malliavin calculus

DOI10.1016/J.FSS.2021.11.005MaRDI QIDQ6058065zbMATH OpenOpenAlexWikidataFDO

Authors

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

zbMATH Keywords

Malliavin calculusfuzzy stochastic processprice sensitivityfuzzy option pricing

Mathematics Subject Classification ID

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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Cites work

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Cited in

(2)

• Option implied moments obtained through fuzzy regression
• On the sensitivity analysis of spread options using Malliavin calculus

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