Computation of Greeks in jump-diffusion models using discrete Malliavin calculus
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Publication:2229106
DOI10.1016/j.matcom.2017.03.002OpenAlexW2598951611MaRDI QIDQ2229106
Yoshifumi Muroi, Shintaro Suda
Publication date: 19 February 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2017.03.002
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Cites Work
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