Computation of Greeks for asset price dynamics driven by stable and tempered stable processes

DOI10.1080/14697688.2011.589403zbMath1281.91186MaRDI QIDQ5397463

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

zbMATH Keywords

finite difference method; sensitivity analysis; Malliavin calculus; Monte Carlo simulation; Lévy process; Greeks; CGMY process

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

60H07: Stochastic calculus of variations and the Malliavin calculus

Related Items

Variance-GGC Asset Price Models and Their Sensitivity Analysis, On simulation of tempered stable random variates, Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws, Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians, Computation of Greeks in jump-diffusion models using discrete Malliavin calculus, MFO-RIMS tandem workshop: Nonlocality in analysis, probability and statistics. Abstracts from the MFO-RIMS tandem workshop held March 20--26, 2022, GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES

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