Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models

DOI10.1080/07362994.2012.668440zbMath1242.91188OpenAlexW2031464110MaRDI QIDQ2893286

Asma Khedher

Publication date: 20 June 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10440

zbMATH Keywords

robustnessstochastic volatilityMalliavin calculusjump-diffusionsdelta hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (3)

Computation of the Delta of European options under stochastic volatility models ⋮ Stochastic systems with memory and jumps ⋮ Calculations of greeks for jump diffusion processes

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