Sensitivity analysis for averaged asset price dynamics with gamma processes (Q1044013)
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scientific article; zbMATH DE number 5644996
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sensitivity analysis for averaged asset price dynamics with gamma processes |
scientific article; zbMATH DE number 5644996 |
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Sensitivity analysis for averaged asset price dynamics with gamma processes (English)
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10 December 2009
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unbiased Monte Carlo estimators
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sensitivity indices
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averaged asset price dynamics
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gamma Lévy process
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Esscher density transform
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