Computation of Greeks for jump-diffusion models

MaRDI QIDQ3195634zbMATH OpenFDO

Authors M'hamed Eddahbi, Sidi Mohamed Lalaoui Ben Cherif, Abdelaziz Nasroallah

Publication date 20 October 2015

zbMATH Keywords

Malliavin calculussensitivity analysisMonte Carlo methodsjump-diffusion modelscompound Poisson processGreeks

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Statistical methods; risk measures (91G70)

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(9)

• 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
• Computation of Delta Greek for Non-linear Models in Mathematical Finance
• Computation of Greeks using binomial trees in a jump-diffusion model
• 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
• Computing Greeks for Lévy Models: The Fourier Transform Approach
• Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
• Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes

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