Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion (Q2786208)
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scientific article; zbMATH DE number 5789614
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion |
scientific article; zbMATH DE number 5789614 |
Statements
Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion (English)
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21 September 2010
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integration-by-parts formula
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Malliavin calculus
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normal inverse Gaussian process
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time-changed Brownian motion
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variance gamma process
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