Computation of Greeks using Malliavin's calculus in jump type market models
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Publication:850403
zbMath1113.60057MaRDI QIDQ850403
Marie-Pierre Bavouzet-Morel, Marouen Messaoud
Publication date: 3 November 2006
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/127538
65C05: Monte Carlo methods
60H07: Stochastic calculus of variations and the Malliavin calculus
91B26: Auctions, bargaining, bidding and selling, and other market models
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