Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes

DOI10.1080/14697688.2012.756604zbMath1281.91179MaRDI QIDQ5397459

Dervis Bayazit, 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

zbMATH Keywords

sensitivity analysis; Malliavin calculus; variance gamma process; normal inverse Gaussian process; inverse Fourier transform method

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G15: Gaussian processes

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

60H07: Stochastic calculus of variations and the Malliavin calculus

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Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes, Unnamed Item, Sensitivity of option prices via fuzzy Malliavin calculus

Cites Work

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