Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
DOI10.1080/14697688.2011.589403zbMATH Open1281.91186OpenAlexW2110597814MaRDI QIDQ5397463FDOQ5397463
Reiichiro Kawai, Atsushi Takeuchi
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://figshare.com/articles/journal_contribution/Computation_of_Greeks_for_asset_price_dynamics_driven_by_stable_and_tempered_stable_processes/10103651
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Malliavin calculussensitivity analysisMonte Carlo simulationfinite difference methodGreeksCGMY processLévy process
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Title not available (Why is that?)
- On simulation of tempered stable random variates
- Tempering stable processes
- Computations of Greeks in a market with jumps via the Malliavin calculus
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Integration by parts formula for locally smooth laws and applications to sensitivity computations
- Calcul des variations stochastique et processus de sauts
- Sensitivity analysis for averaged asset price dynamics with gamma processes
- Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
- Short Positions, Rally Fears and Option Markets
- Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
Cited In (8)
- Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians
- GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
- Computation of Greeks in jump-diffusion models using discrete Malliavin calculus
- On simulation of tempered stable random variates
- Variance-GGC Asset Price Models and Their Sensitivity Analysis
- MFO-RIMS tandem workshop: Nonlocality in analysis, probability and statistics. Abstracts from the MFO-RIMS tandem workshop held March 20--26, 2022
- Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes
- Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
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