Sensitivities of options via Malliavin calculus: applications to markets of exponential variance gamma and normal inverse Gaussian processes
DOI10.1080/14697688.2012.756604zbMATH Open1281.91179OpenAlexW2059579012MaRDI QIDQ5397459FDOQ5397459
Derviş Bayazıt, Craig A. Nolder
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.756604
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Malliavin calculussensitivity analysisvariance gamma processnormal inverse Gaussian processinverse Fourier transform method
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Cites Work
- Financial Modelling with Jump Processes
- Malliavin calculus in Lévy spaces and applications to finance.
- Computations of Greeks in a market with jumps via the Malliavin calculus
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Stochastic Volatility for Lévy Processes
- Processes of normal inverse Gaussian type
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- The Variance Gamma Process and Option Pricing
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Integration by parts formula for locally smooth laws and applications to sensitivity computations
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- Malliavin Calculus for Pure Jump Processes and Applications to Finance
- Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
- Numerical computation of Theta in a jump-diffusion model by integration by parts
Cited In (7)
- QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS
- An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options
- Sensitivity analysis for averaged asset price dynamics with gamma processes
- Sensitivity of option prices via fuzzy Malliavin calculus
- Title not available (Why is that?)
- Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes
- Malliavin calculus in Lévy spaces and applications to finance.
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