Efficient calculation of the Greeks for exponential Lévy...

Quantitative Finance 2016 / 02 Vol. 16; Iss. 2

Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation

Pflug, Georg Ch., Thoma, Philipp
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Volume:
16
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2015.1114364
Date:
February, 2016
File:
PDF, 485 KB
english, 2016
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