SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
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Publication:5369445
DOI10.1017/S1446181115000292zbMath1373.60096MaRDI QIDQ5369445
Publication date: 17 October 2017
Published in: The ANZIAM Journal (Search for Journal in Brave)
Malliavin calculusquasi-Monte Carlo methodsmulti-asset optionssubordinated Brownian motionsoption sensitivities or Greeks
Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07)
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