Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model

DOI10.1080/17442501003629554zbMath1196.91055OpenAlexW2039569946MaRDI QIDQ3585334

Fred Espen Benth, Martin Groth, Olli Wallin

Publication date: 19 August 2010

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10510

zbMATH Keywords

stochastic volatilityMonte Carlo methodsOrnstein-Uhlenbeck processMalliavin derivativesubordinatorsGreeks

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

Computation of the Delta of European options under stochastic volatility models ⋮ On the sensitivity analysis of energy quanto options ⋮ Sequential Monte Carlo Methods for Option Pricing ⋮ Computing deltas without derivatives

Cites Work

• On Lévy processes, Malliavin calculus and market models with jumps
• Computations of Greeks in a market with jumps via the Malliavin calculus
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Malliavin Greeks without Malliavin calculus
• The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
• Malliavin Monte Carlo Greeks for jump diffusions
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Estimating Security Price Derivatives Using Simulation
• Financial Modelling with Jump Processes
• Anticipative calculus for Lévy processes and stochastic differential equations^*
• Lévy Processes and Stochastic Calculus
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
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