Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
DOI10.1080/14697688.2011.589403zbMATH Open1281.91186OpenAlexW2110597814MaRDI QIDQ5397463FDOQ5397463
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
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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 (10)
- Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians
- Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
- 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 and multidimensional density estimation for asset price models with time-changed Brownian motion
- 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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