Develops density method and Malliavin calculus approaches for Delta sensitivities in energy markets modeled by correlated OU, CARMA, jump, and time-changed processes, with numerical illustrations.
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Efficient Computation Of Sensitivities For Derivatives In Energy Markets
Develops density method and Malliavin calculus approaches for Delta sensitivities in energy markets modeled by correlated OU, CARMA, jump, and time-changed processes, with numerical illustrations.