Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model

DOI10.1080/17442501003629554zbMath1196.91055OpenAlexW2039569946MaRDI QIDQ3585334

Fred Espen Benth, Martin Groth, Olli Wallin

Publication date: 19 August 2010

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10510

zbMATH Keywords

stochastic volatilityMonte Carlo methodsOrnstein-Uhlenbeck processMalliavin derivativesubordinatorsGreeks

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

Computation of the Delta of European options under stochastic volatility models ⋮ On the sensitivity analysis of energy quanto options ⋮ Sequential Monte Carlo Methods for Option Pricing ⋮ Computing deltas without derivatives

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