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Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
Kawai, Reiichiro; Takeuchi, Atsushi - In: Quantitative finance 13 (2013) 8, pp. 1303-1316
Persistent link: https://www.econbiz.de/10010148522
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GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
Kawai, Reiichiro; Takeuchi, Atsushi - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 723-743
Persistent link: https://www.econbiz.de/10009258248
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Additional utility of insiders with imperfect dynamical information
Corcuera, José M.; Imkeller, Peter; Kohatsu-Higa, Arturo; … - In: Finance and stochastics 8 (2004) 3, pp. 437
Persistent link: https://www.econbiz.de/10008214758
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Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-114
Persistent link: https://www.econbiz.de/10008215730
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Local Vega Index and Variance Reduction Methods
Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 85-98
Persistent link: https://www.econbiz.de/10008215731