Stephan Sturm Calculation of the Greeks by Malliavin Calculus
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چکیده
منابع مشابه
Malliavin Calculus in Finance
This article is an introduction to Malliavin Calculus for practitioners. We treat one specific application to the calculation of greeks in Finance. We consider also the kernel density method to compute greeks and an extension of the Vega index called the local vega index.
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