Computation of Greeks for Asset Price Dynamics Driven by Stable and Tempered Stable Processes

Quantitative Finance - United Kingdom
doi 10.1080/14697688.2011.589403
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Informa UK Limited

Related search

Tempered Stable Lévy Motion and Transient Super-Diffusion

Journal of Computational and Applied Mathematics
Computational MathematicsApplied Mathematics
2010English

Exact Simulation for a Class of Tempered Stable and Related Distributions

ACM Transactions on Modeling and Computer Simulation
ModelingComputer Science ApplicationsSimulation
2018English

Risk Parity for Mixed Tempered Stable Distributed Sources of Risk

Annals of Operations Research
Management ScienceDecision SciencesOperations Research
2016English

Square Processes of Stable Processes

Advances in Applied Mathematics
2018English

Heterogeneous Expectations and Asset Price Dynamics

Macroeconomic Dynamics
EconomicsEconometrics
2020English

The Tempered Stable Process With Infinitely Divisible Inverse Subordinators

Journal of Statistical Mechanics: Theory and Experiment
Nonlinear PhysicsUncertaintyStatisticsProbabilityStatistical
2013English

Stable Processes and Integral Equations

Transactions of the American Mathematical Society
MathematicsApplied Mathematics
1961English

Pure Jump Levy Processes for Asset Price Modelling

SSRN Electronic Journal
2003English

Stable Computation of Probability Densities for Metastable Dynamical Systems

Multiscale Modeling and Simulation
AstronomySimulationComputer Science ApplicationsModelingEcological ModelingChemistryPhysics
2007English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy