Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation

DOI10.1080/14697688.2015.1114364MaRDI QIDQ5001127zbMATH OpenOpenAlexWikidataFDO

Authors Philipp Thoma, Georg Ch. Pflug

Publication date 16 July 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://pure.iiasa.ac.at/id/eprint/11927/1/Efficient%20calculation%20of%20the%20Greeks%20for%20exponential%20Levy%20processes.pdf

zbMATH Keywords

Asian optionsestimation of Greeksexotic optionslookback optionLévy processesmeasure valued differentiation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• A simulation approach to financial options Greeks estimation under Lévy processes
• SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
• A systematic and efficient simulation scheme for the Greeks of financial derivatives
• Malliavin Monte Carlo Greeks for jump diffusions
• Unbiased and efficient Greeks of financial options

Cites work

• Gradient estimation for discrete-event systems by measure-valued differentiation
• scientific article; zbMATH DE number 1005357 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1869208 (Why is no real title available?)
• Malliavin calculus applied to finance
• Malliavin Calculus with Applications to Stochastic Partial Differential Equations
• Measure-valued differentiation for Markov chains
• Measure-valued differentiation for random horizon problems
• Sensitivity estimation for Gaussian systems
• Single-Run Gradient Estimation Via Measure-Valued Differentiation
• The Asymptotic Efficiency of Simulation Estimators
• Weak Differentiability of Product Measures

Cited in

(5)

• A simulation approach to financial options Greeks estimation under Lévy processes
• Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes
• Computing Greeks for Lévy Models: The Fourier Transform Approach
• European and Asian Greeks for exponential Lévy processes
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options

Describes a project that uses

Uses Software

• DerivaGem

This page was built for publication: Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5001127)