Computation of the delta of European options under stochastic volatility models
Yeliz Yolcu-Okur, Tilman Sayer, Bilgi Yilmaz, B. Alper Inkaya
| Year of publication: |
June 2018
|
|---|---|
| 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 | Griechenland | Greece | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-018-0316-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011876576