Computation of the Greeks delta and gamma of Asian option: a Malliavin calculus approach
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Publication:6661195
Publication date: 13 January 2025
Published in: Journal of the Nigerian Mathematical Society (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx) Sensitivity analysis for optimization problems on manifolds (49Q12)
Cites Work
- Title not available (Why is that?)
- Stochastic calculus for finance. II: Continuous-time models.
- Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
- Stochastic integral representations, stochastic derivatives and minimal variance hedging
- The Malliavin Calculus and Related Topics
- White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
- Stochastic differential equations. An introduction with applications.
- Malliavin Calculus for Lévy Processes with Applications to Finance
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