Computation of Greeks for asset price dynamics driven by stable and tempered stable processes

DOI10.1080/14697688.2011.589403zbMath1281.91186OpenAlexW2110597814MaRDI QIDQ5397463

Reiichiro Kawai, Atsushi Takeuchi

Publication date: 20 February 2014

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

Full work available at URL: https://figshare.com/articles/journal_contribution/Computation_of_Greeks_for_asset_price_dynamics_driven_by_stable_and_tempered_stable_processes/10103651

zbMATH Keywords

finite difference methodsensitivity analysisMalliavin calculusMonte Carlo simulationLévy processGreeksCGMY process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (7)

Variance-GGC Asset Price Models and Their Sensitivity Analysis ⋮ Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians ⋮ MFO-RIMS tandem workshop: Nonlocality in analysis, probability and statistics. Abstracts from the MFO-RIMS tandem workshop held March 20--26, 2022 ⋮ Computation of Greeks in jump-diffusion models using discrete Malliavin calculus ⋮ Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws ⋮ On simulation of tempered stable random variates ⋮ GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES

Cites Work

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• 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
• Short Positions, Rally Fears and Option Markets
• Calcul des variations stochastique et processus de sauts

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