Coefficients of Asymptotic Expansions of SDE with Jumps
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References listed on IDEAS
- Youssef El-Khatib & Nicolas Privault, 2004. "Computations of Greeks in a market with jumps via the Malliavin calculus," Finance and Stochastics, Springer, vol. 8(2), pages 161-179, May.
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KeywordsAsymptotic expansion; Malliavin calculus; Option pricing;
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