A simulation approach to financial options Greeks estimation under Lévy processes

DOI10.3969/J.ISSN.0253-2778.2017.03.009zbMATH Open1389.91130MaRDI QIDQ3132280FDOQ3132280

Authors:

Publication date: 29 January 2018

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zbMATH Keywords

characteristic functionpathwise derivative methodLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (4)

• Simulation of Lévy-driven models and its application in finance
• Simulation of Lévy-driven models and their applications in finance
• Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation
• SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS

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