Malliavin sensitivity analysis with polynomial growth payoff functions under the Black-Scholes model.

Kazuya Yamamura Kazuhiro Yasuda

Published in: JSIAM Lett. (2017)

Keyphrases

sensitivity analysis
payoff functions
black scholes model
option pricing
managerial insights
influence diagrams
variational inequalities
decision analysis
decision variables
black scholes
evolutionary algorithm
long term