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

DOI10.1016/j.na.2009.06.063zbMath1239.91159OpenAlexW2002901566MaRDI QIDQ425903

Craig A. Nolder, Dervis Bayazit

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

sensitivity analysisMalliavin calculusfast Fourier transformMonte Carlo simulationscompound Poisson approximationEuropean optionsrejection methodvariance gamma processacceptance

Mathematics Subject Classification ID

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

Cites Work

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• Computation of Greeks using Malliavin's calculus in jump type market models
• 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
• Numerical Computation of a Generalized Exponential Integral Function
• The Variance Gamma Process and Option Pricing

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