GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES

DOI10.1111/J.1467-9965.2010.00452.XzbMath1244.91092OpenAlexW1893511823MaRDI QIDQ3100753

Reiichiro Kawai, Atsushi Takeuchi

Publication date: 21 November 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00452.x

zbMATH Keywords

Malliavin calculusgamma processesGirsanov transformtime-changed Brownian motionvariance gamma processesBismut-Elworthy-Li type formulas

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (15)

AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION ⋮ ASYMPTOTIC EXPANSION FOR THE TRANSITION DENSITIES OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE GAMMA PROCESSES ⋮ Variance-GGC Asset Price Models and Their Sensitivity Analysis ⋮ Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians ⋮ On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws ⋮ Acceleration on Adaptive Importance Sampling with Sample Average Approximation ⋮ Integration by parts formulas for marked Hawkes processes ⋮ Computation of Greeks in jump-diffusion models using discrete Malliavin calculus ⋮ Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws ⋮ European and Asian Greeks for exponential Lévy processes ⋮ Likelihood ratio gradient estimation for Meixner distribution and Lévy processes ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives ⋮ Sensitivity analysis for averaged asset price dynamics with gamma processes ⋮ Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market ⋮ Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes

Cites Work

• Unnamed Item
• Option pricing and Esscher transform under regime switching
• Option pricing for pure jump processes with Markov switching compensators
• Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
• Sensitivity analysis for averaged asset price dynamics with gamma processes
• Integration by parts for Poisson processes
• Pricing contingent claims on stocks driven by Lévy processes
• Formulae for the derivatives of heat semigroups
• Computations of Greeks in a market with jumps via the Malliavin calculus
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
• The Malliavin Calculus and Related Topics
• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
• Calcul des variations stochastique et processus de sauts
• The Variance Gamma Process and Option Pricing
• Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
• Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

This page was built for publication: GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES