Assessing the impact of jumps in an option pricing model: a gradient estimation approach

DOI10.1016/j.ejor.2021.07.015zbMath1490.91223OpenAlexW3186417116MaRDI QIDQ2076852

Warren Volk-Makarewicz, Svetlana Borovkova, Bernd F. Heidergott

Publication date: 22 February 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.07.015

zbMATH Keywords

option pricingfinancemodel risk\(t\)-testgradient estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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