Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus
By Ayub Ahmadi, Mahdieh Tahmasebi
Rating
1438
Battle Count: 354
Relevance
8/10
Highly relevant for improving option pricing and risk management in markets with jumps and stochastic intensity
Implementation Complexity
7/10
Requires advanced mathematical knowledge and implementation of complex numerical methods
Reproducibility
4/5
The paper provides detailed mathematical derivations and numerical examples, enhancing reproducibility
About this paper
Methodology: Malliavin calculus. Problem types: Option Pricing, Risk Management.
The interactive Everscope explorer (charts, battles, favorites) loads below.