Computations of Greeks in a market with jumps via the Malliavin calculus

Keyphrases

• Asian Options 100%
• Greeks Computation 100%
• Wiener Space 50%
• Monte Carlo Approximation 50%
• Discontinuous Processes 50%
• European Options 50%
• Random Jump 50%
• Poisson Space 50%
• Smoothing Effect 50%
• Jump Height 50%
• Poisson Jumps 50%
• Jump Time 50%

Mathematics

• American Option 100%