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

DOI10.1080/14697688.2011.589403MaRDI QIDQ5397463zbMATH OpenOpenAlexFDO

Authors 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

CGMY processfinite difference methodGreeksLévy processMalliavin calculusMonte Carlo simulationsensitivity analysis

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) 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
• Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
• Calcul des variations stochastique et processus de sauts
• 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
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• On simulation of tempered stable random variates
• Sensitivity analysis for averaged asset price dynamics with gamma processes
• Short positions, rally fears and option markets
• Tempering stable processes

Cited in

(11)

• 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
• Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
• Greeks formulas for an asset price model with gamma processes
• Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
• Variance-GGC asset price models and their sensitivity analysis
• Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes
• Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
• On simulation of tempered stable random variates
• Small jump approximation and Malliavin integration by parts for infinite activity Lévy processes for Monte Carlo estimate of the Delta option price sensitivity

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