Nonparametric Malliavin-Monte Carlo computation of hedging Greeks
Year of publication: |
2020
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Authors: | Mancino, Maria Elvira ; Sanfelici, Simona |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 4/120, p. 1-17
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Subject: | Delta hedging | risk management | Monte Carlo simulation | Malliavin calculus | price-volatility feedback rate | nonparametric estimation | fourier analysis | Hedging | Monte-Carlo-Simulation | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomanagement | Risk management | Optionspreistheorie | Option pricing theory | Simulation | Griechenland | Greece |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8040120 [DOI] hdl:10419/258073 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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