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

DOI10.1080/17442501003629554MaRDI QIDQ3585334zbMATH OpenOpenAlexFDO

Authors 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

Ornstein-Uhlenbeck processMonte Carlo methodsMalliavin derivativestochastic volatilitysubordinatorsGreeks

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)

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Cites work

• scientific article; zbMATH DE number 5010396 (Why is no real title available?)
• scientific article; zbMATH DE number 46016 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 274379 (Why is no real title available?)
• Anticipative calculus for Lévy processes and stochastic differential equations^*
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Computations of Greeks in a market with jumps via the Malliavin calculus
• Estimating Security Price Derivatives Using Simulation
• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus
• Malliavin Greeks without Malliavin calculus
• Malliavin Monte Carlo Greeks for jump diffusions
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On Lévy processes, Malliavin calculus and market models with jumps
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps

Cited in

(11)

• Moments of the asset price for the Barndorff-Nielsen and Shephard model
• Computation of the Delta of European options under stochastic volatility models
• Approximate option pricing formula for Barndorff-Nielsen and Shephard model
• Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium
• Sequential Monte Carlo methods for option pricing
• On the sensitivity analysis of energy quanto options
• Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
• The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model
• Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
• Generalized BN-S stochastic volatility model for option pricing
• Computing deltas without derivatives

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