European and Asian Greeks for exponential Lévy processes

DOI10.48550/arXiv.1603.00920zbMath1520.91402arXiv1603.00920MaRDI QIDQ64644

Anselm Hudde, Ludger Rüschendorf, Ludger Rüschendorf, Anselm Hudde

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

zbMATH Keywords

Malliavin calculus; jump diffusions; Asian Greeks

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

60H07: Stochastic calculus of variations and the Malliavin calculus

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)