Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus

By Ayub Ahmadi, Mahdieh Tahmasebi

Published 2024-05-01

Everscope rating

1683.6

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Malliavin calculus. Problem types: Option Pricing, Risk Management.

arXiv:2405.00473 · Paper rankings

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