Functional Itô calculus, path-dependence and the computation of Greeks

DOI10.1016/j.spa.2017.03.015zbMath1377.60065arXiv1311.3881OpenAlexW1646613531MaRDI QIDQ1679474

Yuri F. Saporito, Samy Jazaerli

Publication date: 9 November 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.3881

zbMATH Keywords

Monte Carlo methodsfunctional Itô calculuspath-dependenceGreeks

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items

A functional Itô's calculus approach to convex risk measures with jump diffusion, FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT, KrigHedge: Gaussian Process Surrogates for Delta Hedging, The functional Meyer–Tanaka formula, Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation, Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost, Weak differentiability of Wiener functionals and occupation times, Computing deltas without derivatives, Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations, A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces, Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs, On the anticipative nonlinear filtering problem and its stability

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• A functional extension of the Ito formula
• Path dependent volatility
• Change of variable formulas for non-anticipative functionals on path space
• Stochastic integration and \(L^ p-\)theory of semimartingales
• Computation of Greeks for barrier and look-back options using Malliavin calculus
• Representation theorems for backward stochastic differential equations
• On pathwise stochastic integration
• Functional Itō calculus and stochastic integral representation of martingales
• Applications of Malliavin calculus to Monte Carlo methods in finance
• On viscosity solutions of path dependent PDEs
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
• The functional Itō formula under the family of continuous semimartingale measures
• The Malliavin Calculus and Related Topics
• Complete Models with Stochastic Volatility
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II