On the sensitivity analysis of spread options using Malliavin calculus
type: Item
instance of: scholarly article
title: On the sensitivity analysis of spread options using Malliavin calculus
zbMATH Open document ID: 1540.60102
author: Shadrack Makwena Kgomo
author: Farai Julius Mhlanga
published in: Novi Sad Journal of Mathematics
publication date: 2024-06-18T00:00:00Z
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7867779
zbMATH Keywords: spread options
zbMATH Keywords: Malliavin derivatives
zbMATH Keywords: price sensitivities
MaRDI profile type: Publication
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DOI: 10.30755/NSJOM.12553
description: scientific article; zbMATH DE number 7867779