Computations of Greeks in a market with jumps via the Malliavin calculus
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Publication:1887269
DOI10.1007/s00780-003-0111-6zbMath1098.91050OpenAlexW2064599895MaRDI QIDQ1887269
Youssef El-Khatib, Nicolas Privault
Publication date: 24 November 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-003-0111-6
Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Auctions, bargaining, bidding and selling, and other market models (91B26)
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