Malliavin Monte Carlo Greeks for jump diffusions

DOI10.1016/j.spa.2005.08.002zbMath1081.60040OpenAlexW1980372135MaRDI QIDQ2576959

Mark H. A. Davis, Martin P. Johansson

Publication date: 29 December 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2005.08.002

zbMATH Keywords

Lévy process mathematical finance Monte Carlo estimation Jump-diffusion process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work