Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation (Q5001127)
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scientific article; zbMATH DE number 7372398
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation |
scientific article; zbMATH DE number 7372398 |
Statements
Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation (English)
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16 July 2021
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Lévy processes
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estimation of Greeks
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measure valued differentiation
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exotic options
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lookback option
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Asian options
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