Computing deltas without derivatives
DOI10.1007/S00780-016-0321-3zbMATH Open1378.91117OpenAlexW2419409580MaRDI QIDQ522065FDOQ522065
Authors: David R. Baños, Thilo Meyer-Brandis, F. Proske, Sindre Duedahl 
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
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Malliavin calculusdeltaBismut-Elworthy-Li formulaGreeksirregular diffusion coefficientsoption sensitivitiesrelative \(L^{2}\)-compactnessstrong solutions of stochastic differential equations
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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- Optimal Malliavin Weighting Function for the Computation of the Greeks
- Pricing and hedging of variable annuities with state-dependent fees
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Cited In (20)
- Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models
- Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
- Computation of the Delta of European options under stochastic volatility models
- Malliavin differentiability of a class of Feller-diffusions with relevance in finance
- Title not available (Why is that?)
- Differentiability of quadratic forward-backward SDEs with rough drift
- Maximum principle for stochastic control of SDEs with measurable drifts
- Sensitivity analysis of long-term cash flows
- Recombining tree approximations for optimal stopping for diffusions
- Strong solutions of some one-dimensional SDEs with random and unbounded drifts
- A representation theorem and a sensitivity result for functionals of jump diffusions
- Flows for singular stochastic differential equations with unbounded drifts
- Sensitivity of option prices via fuzzy Malliavin calculus
- Strong solutions of mean-field stochastic differential equations with irregular drift
- Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs
- Functional Itô calculus, path-dependence and the computation of Greeks
- Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise
- Using the Donsker delta function to compute hedging strategies
- Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
- On the sensitivity analysis of spread options using Malliavin calculus
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