Computation of Greeks in LIBOR models driven by time : inhomogeneous Lévy processes
Ernst Eberlein, M'hamed Eddahbi and S.M. Lalaoui Ben Cherif
| Year of publication: |
September 2016
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| Authors: | Eberlein, Ernst ; Eddahbi, M'hamed ; Cherif, Sidi Mohamed Lalaoui Ben |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 3/4, p. 236-260
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| Subject: | Lévy LIBOR model | fast Fourier transform | time-inhomogeneous Lévy processes | Malliavin calculus | Greeks and sensitivity analysis | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Griechenland | Greece | Zinsstruktur | Yield curve | Sensitivitätsanalyse | Sensitivity analysis | Finanzmathematik | Mathematical finance |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2016.1243013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704234