Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes
DOI10.1080/14697688.2012.756604zbMath1281.91179OpenAlexW2059579012MaRDI QIDQ5397459
Dervis Bayazit, Craig A. Nolder
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.756604
sensitivity analysisMalliavin calculusvariance gamma processnormal inverse Gaussian processinverse Fourier transform method
Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (3)
Cites Work
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