Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility
Year of publication: |
June 2018
|
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Authors: | De Diego, Sergio ; Ferreira, Eva ; Nualart, Eulàlia |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018, 1, p. 79-105
|
Subject: | option pricing | Esscher transform | Malliavin calculus | Robbins-Monro algorithm | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stichprobenerhebung | Sampling |
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