GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES

DOI10.1111/j.1467-9965.2010.00452.xzbMath1244.91092OpenAlexW1893511823MaRDI QIDQ3100753

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

zbMATH Keywords

Malliavin calculusgamma processesGirsanov transformtime-changed Brownian motionvariance gamma processesBismut-Elworthy-Li type formulas

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (15)

AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION ⋮ ASYMPTOTIC EXPANSION FOR THE TRANSITION DENSITIES OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE GAMMA PROCESSES ⋮ Variance-GGC Asset Price Models and Their Sensitivity Analysis ⋮ Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians ⋮ On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws ⋮ Acceleration on Adaptive Importance Sampling with Sample Average Approximation ⋮ Integration by parts formulas for marked Hawkes processes ⋮ Computation of Greeks in jump-diffusion models using discrete Malliavin calculus ⋮ Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws ⋮ European and Asian Greeks for exponential Lévy processes ⋮ Likelihood ratio gradient estimation for Meixner distribution and Lévy processes ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives ⋮ Sensitivity analysis for averaged asset price dynamics with gamma processes ⋮ Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market ⋮ Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes

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