Greeks formulas for an asset price model with gamma processes
DOI10.1111/J.1467-9965.2010.00452.XzbMATH Open1244.91092OpenAlexW1893511823MaRDI QIDQ3100753FDOQ3100753
Authors: Reiichiro Kawai, Atsushi Takeuchi 
Publication date: 21 November 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00452.x
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Malliavin calculusGirsanov transformtime-changed Brownian motiongamma processesvariance gamma processesBismut-Elworthy-Li type formulas
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
Cites Work
- Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
- Computations of Greeks in a market with jumps via the Malliavin calculus
- Applications of Malliavin calculus to Monte Carlo methods in finance
- The Malliavin Calculus and Related Topics
- Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
- The Variance Gamma Process and Option Pricing
- Pricing contingent claims on stocks driven by Lévy processes
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Option pricing and Esscher transform under regime switching
- Option pricing for pure jump processes with Markov switching compensators
- Formulae for the derivatives of heat semigroups
- Integration by parts formula for locally smooth laws and applications to sensitivity computations
- Calcul des variations stochastique et processus de sauts
- Integration by parts for Poisson processes
- Title not available (Why is that?)
- Sensitivity analysis for averaged asset price dynamics with gamma processes
- Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
- Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
- Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
Cited In (18)
- Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market
- Integration by parts formulas for marked Hawkes processes
- Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians
- Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
- On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws
- Acceleration on adaptive importance sampling with sample average approximation
- Variance-GGC asset price models and their sensitivity analysis
- Sensitivity analysis for averaged asset price dynamics with gamma processes
- Computation of Greeks in jump-diffusion models using discrete Malliavin calculus
- Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
- Dynamic Greeks
- Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
- AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION
- A systematic and efficient simulation scheme for the Greeks of financial derivatives
- Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
- Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes
- Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
- European and Asian Greeks for exponential Lévy processes
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