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  4. Computation of option greeks under hybri ...

Modern Stochastics: Theory and Applications


Cited by 3
Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus

European and Asian Greeks for Exponential Lévy Processes
Anselm Hudde, Ludger Rüschendorf
https://doi.org/10.1007/s11009-023-10014-5
Journal:  Methodology and Computing in Applied Probability Volume 25, Issue 1 (2023)
On the sensitivity analysis of spread options using Malliavin calculus
Shadrack Makwena Kgomo, Farai Julius Mhlanga
https://doi.org/10.30755/NSJOM.12553
Journal:  Novi Sad Journal of Mathematics Volume 53, Issue 2 (2022), p. 131
Sensitivity of option prices via fuzzy Malliavin calculus
Hossein Jafari
https://doi.org/10.1016/j.fss.2021.11.005
Journal:  Fuzzy Sets and Systems Volume 434 (2022), p. 98


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