European and Asian Greeks for exponential Lévy processes
From MaRDI portal
Publication:64644
DOI10.48550/arXiv.1603.00920zbMath1520.91402arXiv1603.00920MaRDI QIDQ64644
Ludger Rüschendorf, Anselm Hudde, Anselm Hudde, Ludger Rüschendorf
Publication date: 2 March 2016
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.00920
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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