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Price sensitivities for a general stochastic volatility model - MaRDI portal

Price sensitivities for a general stochastic volatility model (Q5205070)

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scientific article; zbMATH DE number 7141944
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English
Price sensitivities for a general stochastic volatility model
scientific article; zbMATH DE number 7141944

    Statements

    author
    Youssef El-Khatib
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    Abdulnasser Hatemi-J
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    publication date
    10 December 2019
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    zbMATH Keywords
    Brownian motion
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    SDEs
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    Ito formula
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    Malliavin calculus
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    stochastic volatility
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    price sensitivities
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    arXiv classification
    math.PR
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    Identifiers

    Mathematics Subject Classification ID
    60G15
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    60H07
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    91G30
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    91G20
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    zbMATH DE Number
    7141944
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    arXiv ID
    1705.02474
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