Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility
Sergio De Diego, Eva Ferreira and Eulàlia Nualart
| Year of publication: |
June 2018
|
|---|---|
| Authors: | De Diego, Sergio ; Ferreira, Eva ; Nualart, Eulàlia |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018, 1, p. 79-105
|
| Subject: | option pricing | Esscher transform | Malliavin calculus | Robbins-Monro algorithm | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Stichprobenerhebung | Sampling | Analysis | Mathematical analysis | Finanzmathematik | Mathematical finance |