Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion

DOI10.1080/13504860903336429zbMath1233.91315OpenAlexW2044368318MaRDI QIDQ2786208

Reiichiro Kawai, Arturo Kohatsu-Higa

Publication date: 21 September 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2381/8358

zbMATH Keywords

Malliavin calculusvariance gamma processtime-changed Brownian motionnormal inverse Gaussian processintegration-by-parts formula

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

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