Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models
DOI10.1080/07362994.2012.668440zbMATH Open1242.91188OpenAlexW2031464110MaRDI QIDQ2893286FDOQ2893286
Authors: Asma Khedher 
Publication date: 20 June 2012
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/10440
Recommendations
- Robustness of option prices and their deltas in markets modelled by jump-diffusions
- Computation of the Delta of European options under stochastic volatility models
- Option pricing for a stochastic volatility jump-diffusion model
- Computing deltas without derivatives
- Computation of Greeks for jump-diffusion models
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
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- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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- Canonical Lévy process and Malliavin calculus
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- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- White noise analysis for Lévy processes.
- Term structure models driven by general Lévy processes
- Malliavin differentiability of the Heston volatility and applications to option pricing
- The normal inverse gaussian lévy process: simulation and approximation
- A note on convergence of option prices and their Greeks for Lévy models
Cited In (5)
- Computation of Delta Greek for Non-linear Models in Mathematical Finance
- Computation of the Delta of European options under stochastic volatility models
- Calculations of greeks for jump diffusion processes
- Numerical computation of Theta in a jump-diffusion model by integration by parts
- Stochastic systems with memory and jumps
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