"Computation of Greeks in jump-diffusion models using discrete Malliavin ..."

Yoshifumi Muroi, Shintaro Suda (2017)

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DOI: 10.1016/J.MATCOM.2017.03.002

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type: Journal Article

metadata version: 2020-03-04

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Yoshifumi Muroi, Shintaro Suda:
Computation of Greeks in jump-diffusion models using discrete Malliavin calculus. Math. Comput. Simul. 140: 69-93 (2017)

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