European and Asian Greeks for exponential Lévy processes (Q64644)

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English	European and Asian Greeks for exponential Lévy processes	scientific article from arXiv

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scholarly article

publication date

2 March 2016

4 July 2023

arXiv classification

math.PR

Ludger Rüschendorf

Ludger Rüschendorf

MaRDI profile type

MaRDI publication profile

European and Asian Greeks for exponential Lévy processes (English)

Methodology and Computing in Applied Probability

full work available at URL

https://arxiv.org/abs/1603.00920

zbMATH Keywords

Malliavin calculus

Asian Greeks

jump diffusions

Computation of Greeks using Malliavin's calculus in jump type market models

Sensitivity analysis in the infinite dimensional Heston model

Financial Modelling with Jump Processes

Malliavin Monte Carlo Greeks for jump diffusions

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

Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance

Applications of Malliavin calculus to Monte Carlo methods in finance

Pricing Discretely Monitored Asian Options by Maturity Randomization

BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES

An Efficient Transform Method for Asian Option Pricing

THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE

Malliavin calculus applied to finance

The Malliavin Calculus and Related Topics

Malliavin calculus in Lévy spaces and applications to finance.

Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation

The value of an Asian option

Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation

Options on a traded account: Vacation calls, vacation puts and passport options

Canonical Lévy process and Malliavin calculus

BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS

The mean comparison theorem cannot be extended to the Poisson case

Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods

Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus

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Mathematics(1 entry)

mardi Publication:64644

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