Importance sampling applied to greeks for jump–diffusion models with stochastic volatility

  1. de Diego, S.
  2. Ferreira, E.
  3. Nualart, E.
Journal:
Journal of Computational Finance

ISSN: 1755-2850,  1460-1559

Year of publication: 2018

Volume: 22

Issue: 1

Pages: 79-105

Type: Article

DOI: 10.21314/JCF.2018.348 GOOGLE SCHOLAR
Data source: Scopus