Computation of Greeks for jump-diffusion models
M'hamed Eddahbi, Sidi Mohamed Lalaoui Ben Cherif and Abdelaziz Nasroallah
| Year of publication: |
2015
|
|---|---|
| Authors: | Eddahbi, M'hamed ; Cherif, Sidi Mohamed Lalaoui Ben ; Nasroallah, Abdelaziz |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 6, p. 1-30
|
| Subject: | Greeks | sensitivity analysis | jump-diffusion models | compound poisson process | Malliavin calculus | Monte Carlo methods | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Griechenland | Greece | Sensitivitätsanalyse | Sensitivity analysis | Finanzmathematik | Mathematical finance | Wahrscheinlichkeitsrechnung | Probability theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011403918