Browsing by Author "Jazaerli, Samy"
Now showing items 1-2 of 2
-
Functional itô calculus, path-dependence and the computation of greeks
Jazaerli, Samy; Saporito, Yuri Fahham
2015Dupire’s functional Itˆo calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we ... -
Functional Itô calculus, path-dependence and the computation of Greeks
Jazaerli, Samy; Saporito, Yuri Fahham
2017-12Dupire's functional Ito calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce ...



