Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes (Q4585676)
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scientific article; zbMATH DE number 6933337
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes |
scientific article; zbMATH DE number 6933337 |
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Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes (English)
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6 September 2018
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Lévy LIBOR model
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fast Fourier transform
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time-inhomogeneous Lévy processes
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Malliavin calculus
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Greeks and sensitivity analysis
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