Computation of Greeks in LIBOR models driven by time : inhomogeneous Lévy processes
Year of publication: |
September 2016
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Authors: | Eberlein, Ernst ; Eddahbi, M'hamed ; Cherif, Sidi Mohamed Lalaoui Ben |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 3/4, p. 236-260
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Subject: | Lévy LIBOR model | fast Fourier transform | time-inhomogeneous Lévy processes | Malliavin calculus | Greeks and sensitivity analysis | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Griechenland | Greece | Zinsstruktur | Yield curve | Sensitivitätsanalyse | Sensitivity analysis |
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