Computing deltas without derivatives
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Malliavin calculusdeltaBismut-Elworthy-Li formulaGreeksirregular diffusion coefficientsoption sensitivitiesrelative \(L^{2}\)-compactnessstrong solutions of stochastic differential equations
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cites work
- scientific article; zbMATH DE number 1001278 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 148765 (Why is no real title available?)
- scientific article; zbMATH DE number 3638903 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1014073 (Why is no real title available?)
- A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
- A first course in Sobolev spaces
- A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
- Construction of strong solutions of SDE's via Malliavin calculus
- Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
- Electricity spot price modelling with a view towards extreme spike risk
- Estimating multidimensional density functions using the Malliavin-Thalmaier formula
- Formulae for the derivatives of heat semigroups
- Functional Itô calculus, path-dependence and the computation of Greeks
- Functional Itō calculus and stochastic integral representation of martingales
- Integration with respect to local time
- Large deviations and the Malliavin calculus
- MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
- Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation
- On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients
- Optimal Malliavin Weighting Function for the Computation of the Greeks
- Pricing and hedging of variable annuities with state-dependent fees
- Revisiting the Greeks for European and American options
- Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
- Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation
- Stochastic modeling of electricity and related markets.
- The Euler scheme with irregular coefficients
- The Malliavin Calculus and Related Topics
Cited in
(20)- Functional Itô calculus, path-dependence and the computation of Greeks
- Malliavin differentiability of a class of Feller-diffusions with relevance in finance
- Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
- On the sensitivity analysis of spread options using Malliavin calculus
- Using the Donsker delta function to compute hedging strategies
- Computation of the Delta of European options under stochastic volatility models
- Maximum principle for stochastic control of SDEs with measurable drifts
- Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models
- scientific article; zbMATH DE number 5234243 (Why is no real title available?)
- Strong solutions of mean-field stochastic differential equations with irregular drift
- Recombining tree approximations for optimal stopping for diffusions
- Strong solutions of some one-dimensional SDEs with random and unbounded drifts
- Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs
- Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise
- Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
- A representation theorem and a sensitivity result for functionals of jump diffusions
- Sensitivity analysis of long-term cash flows
- Flows for singular stochastic differential equations with unbounded drifts
- Sensitivity of option prices via fuzzy Malliavin calculus
- Differentiability of quadratic forward-backward SDEs with rough drift
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