# Computation of Greeks using Malliavin's calculus in jump type market models.

Bavouzet-Morel, Marie-Pierre; Messaoud, Marouen

Electronic Journal of Probability [electronic only] (2006)

- Volume: 11, page 276-300
- ISSN: 1083-589X

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topBavouzet-Morel, Marie-Pierre, and Messaoud, Marouen. "Computation of Greeks using Malliavin's calculus in jump type market models.." Electronic Journal of Probability [electronic only] 11 (2006): 276-300. <http://eudml.org/doc/127538>.

@article{Bavouzet2006,

author = {Bavouzet-Morel, Marie-Pierre, Messaoud, Marouen},

journal = {Electronic Journal of Probability [electronic only]},

language = {eng},

pages = {276-300},

publisher = {University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham},

title = {Computation of Greeks using Malliavin's calculus in jump type market models.},

url = {http://eudml.org/doc/127538},

volume = {11},

year = {2006},

}

TY - JOUR

AU - Bavouzet-Morel, Marie-Pierre

AU - Messaoud, Marouen

TI - Computation of Greeks using Malliavin's calculus in jump type market models.

JO - Electronic Journal of Probability [electronic only]

PY - 2006

PB - University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham

VL - 11

SP - 276

EP - 300

LA - eng

UR - http://eudml.org/doc/127538

ER -

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