Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes (Q5397459)
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scientific article; zbMATH DE number 6260405
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes |
scientific article; zbMATH DE number 6260405 |
Statements
Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes (English)
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20 February 2014
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Malliavin calculus
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variance gamma process
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normal inverse Gaussian process
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sensitivity analysis
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inverse Fourier transform method
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