A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus (Q4562722)
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scientific article; zbMATH DE number 6994530
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus |
scientific article; zbMATH DE number 6994530 |
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A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus (English)
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18 December 2018
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mean-variance hedging
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additive processes
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Malliavin calculus
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fast Fourier transform
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