Computation of the delta of European options under stochastic volatility models
Year of publication: |
June 2018
|
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Authors: | Yolcu-Okur, Yeliz ; Sayer, Tilman ; Yilmaz, Bilgi ; Inkaya, B. Alper |
Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 15.2018, 2, p. 213-237
|
Subject: | Greeks | Malliavin calculus | Stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Griechenland | Greece |
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