Calculations of greeks for jump diffusion processes

DOI10.1007/S00009-014-0459-1MaRDI QIDQ493354zbMATH OpenOpenAlexFDO

Authors Farai Julius Mhlanga

Publication date 3 September 2015

Published in Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00009-014-0459-1

zbMATH Keywords

Malliavin calculus[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]integration by parts formulajump diffusion processesHeston modelSkorokhod integralGreeksfinancial quantities

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Financial applications of other theories (91G80)

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Cites work

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• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Approximations of small jumps of Lévy processes with a view towards simulation
• Chaotic and predictable representations for Lévy processes.
• Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models
• Computations of Greeks in a market with jumps via the Malliavin calculus
• Financial Modelling with Jump Processes
• Local volatility in the Heston model: a Malliavin calculus approach
• Lévy Processes and Stochastic Calculus
• Malliavin Monte Carlo Greeks for jump diffusions
• Malliavin calculus in Lévy spaces and applications to finance.
• Malliavin differentiability of the Heston volatility and applications to option pricing
• Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
• Robustness of option prices and their deltas in markets modelled by jump-diffusions
• The Malliavin Calculus and Related Topics

Cited in

(8)

• On the sensitivity analysis of spread options using Malliavin calculus
• Computations of Greeks in a market with jumps via the Malliavin calculus
• Computation of Delta Greek for Non-linear Models in Mathematical Finance
• Computation of Greeks using binomial trees in a jump-diffusion model
• Computation of Greeks for jump-diffusion models
• Computation of Greeks in jump-diffusion models using discrete Malliavin calculus
• Numerical computation of Theta in a jump-diffusion model by integration by parts
• Computation of Greeks using Malliavin's calculus in jump type market models

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