Sensitivities of options via Malliavin calculus: applications to markets of exponential variance gamma and normal inverse Gaussian processes

DOI10.1080/14697688.2012.756604MaRDI QIDQ5397459zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

inverse Fourier transform methodMalliavin calculusnormal inverse Gaussian processsensitivity analysisvariance gamma process

Mathematics Subject Classification ID

Gaussian processes (60G15) Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Applications of Malliavin calculus to Monte Carlo methods in finance
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
• Computations of Greeks in a market with jumps via the Malliavin calculus
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1390900 (Why is no real title available?)
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Malliavin Calculus for Pure Jump Processes and Applications to Finance
• Malliavin calculus in Lévy spaces and applications to finance.
• Numerical computation of Theta in a jump-diffusion model by integration by parts
• Processes of normal inverse Gaussian type
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing

Cited in

(10)

• Malliavin calculus in Lévy spaces and applications to finance.
• Sensitivity analysis for averaged asset price dynamics with gamma processes
• An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options
• Sensitivity analysis for time-inhomogeneous Lévy process: a Malliavin calculus approach and numerics
• Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes
• Sensitivity analysis of a class of interest rate derivatives in a variance gamma Lévy market
• QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS
• Sensitivity of option prices via fuzzy Malliavin calculus
• On the sensitivity analysis of spread options using Malliavin calculus
• Sensitivity analysis for mean-field stochastic differential equations with jumps and its applications in option pricing

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