An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options

DOI10.1016/J.NA.2009.06.063MaRDI QIDQ425903zbMATHOpenAlexFDO

Authors Craig A. Nolder, Derviş Bayazıt

Publication date 9 June 2012

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2009.06.063

zbMATH Keywords

Malliavin calculussensitivity analysisEuropean optionsrejection methodfast Fourier transformMonte Carlo simulationscompound Poisson approximationacceptancevariance gamma process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Computation of Greeks using Malliavin's calculus in jump type market models
• Computations of Greeks in a market with jumps via the Malliavin calculus
• Numerical Computation of a Generalized Exponential Integral Function
• On Lévy processes, Malliavin calculus and market models with jumps
• The Variance Gamma Process and Option Pricing

Cited in

(4)

• Computation of the Delta of European options under stochastic volatility models
• Sensitivities of options via Malliavin calculus: applications to markets of exponential variance gamma and normal inverse Gaussian processes
• APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES
• Local Vega Index and Variance Reduction Methods

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