Calculations of greeks for jump diffusion processes
type: Item
instance of: scholarly article
title: Calculations of greeks for jump diffusion processes
zbMATH Open document ID: 1321.60168
author: Farai Julius Mhlanga
published in: Mediterranean Journal of Mathematics
publication date: 2015-09-03T00:00:00Z
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6478200
zbMATH Keywords: jump diffusion processes
zbMATH Keywords: Greeks
zbMATH Keywords: financial quantities
zbMATH Keywords: Heston model
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: Lévy process
zbMATH Keywords: integration by parts formula
zbMATH Keywords: Skorokhod integral
MaRDI profile type: Publication
full work available at URL: s00009-014-0459-1
OpenAlex ID: W2011127110
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DOI: 10.1007/S00009-014-0459-1
description: scientific article; zbMATH DE number 6478200