Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model (Q4689913)
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scientific article; zbMATH DE number 6959392
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model |
scientific article; zbMATH DE number 6959392 |
Statements
Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model (English)
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22 October 2018
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option valuation
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Lévy forward process model
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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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