Computing deltas without derivatives

DOI10.1007/s00780-016-0321-3zbMath1378.91117OpenAlexW2419409580MaRDI QIDQ522065

Thilo Meyer-Brandis, Sindre Duedahl, Frank Norbert Proske, David R. Baños

Publication date: 13 April 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/55124

zbMATH Keywords

Malliavin calculusdeltaBismut-Elworthy-Li formulaGreeksirregular diffusion coefficientsoption sensitivitiesrelative \(L^{2}\)-compactnessstrong solutions of stochastic differential equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (9)

Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise ⋮ Recombining Tree Approximations for Optimal Stopping for Diffusions ⋮ Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs ⋮ Flows for singular stochastic differential equations with unbounded drifts ⋮ Maximum principle for stochastic control of SDEs with measurable drifts ⋮ Strong solutions of mean-field stochastic differential equations with irregular drift ⋮ Sensitivity analysis of long-term cash flows ⋮ Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes ⋮ Strong Solutions of Some One-dimensional SDEs with Random and Unbounded Drifts

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