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ifgs Schriftenreihe der FOM
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Computations of
Greeks
in a market with jumps via the Malliavin calculus
El-Khatib, Youssef
;
Privault, Nicolas
- In:
Finance and Stochastics
8
(
2004
)
2
,
pp. 161-179
Using the Malliavin calculus on Poisson space we compute
Greeks
in a market driven by a discontinuous process with …
Persistent link: https://www.econbiz.de/10005184384
Saved in:
2
Unbiased and efficient
Greeks
of financial options
Lyuu, Yuh-Dauh
;
Teng, Huei-Wen
- In:
Finance and Stochastics
15
(
2011
)
1
,
pp. 141-181
Persistent link: https://www.econbiz.de/10008925430
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