On the sensitivity analysis of spread options using Malliavin calculus
From MaRDI portal
Publication:6558208
DOI10.30755/nsjom.12553zbMath1540.60102MaRDI QIDQ6558208
Farai Julius Mhlanga, Shadrack Makwena Kgomo
Publication date: 18 June 2024
Published in: Novi Sad Journal of Mathematics (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
This page was built for publication: On the sensitivity analysis of spread options using Malliavin calculus
