Local Vega Index and Variance Reduction Methods

DOI10.1111/1467-9965.00007zbMath1049.91062OpenAlexW3124866919MaRDI QIDQ4409039

Miquel Montero, Hans-Peter Bermin, Arturo Kohatsu-Higa

Publication date: 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00007

zbMATH Keywords

volatility structureoption sensitivity

Mathematics Subject Classification ID

Density estimation (62G07) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

An integration by parts type formula for stopping times and its application ⋮ Malliavin Greeks without Malliavin calculus ⋮ Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations ⋮ General approximation schemes for option prices in stochastic volatility models

Cites Work

• Hypoelliptic non-homogeneous diffusions
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
• On the Convergence Rates of IPA and FDC Derivative Estimators
• Estimating Security Price Derivatives Using Simulation
• Variance Reduction Methods for Simulation of Densities on Wiener Space
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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