Revisiting the Greeks for European and American options

MaRDI QIDQ5486563zbMATHFDO

Authors Emmanuel Gobet

Publication date 11 September 2006

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0003.html

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Cited in

(21)

• Functional Itô calculus, path-dependence and the computation of Greeks
• European and Asian Greeks for exponential Lévy processes
• THE GREEKS OF INDONESIAN CALL OPTION
• Calculating the Greeks by cubature formulae
• Greeks computation in the option pricing problem by means of RBF-PU methods
• Are American options European after all?
• Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
• When terminal facelift enforces delta constraints
• Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation
• An integration by parts type formula for stopping times and its application
• Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method
• Dynamic Greeks
• On density functions related to discrete time maximum of some one-dimensional diffusion processes
• Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
• Computing deltas without derivatives
• Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
• Smart expansion and fast calibration for jump diffusions
• Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
• A new computational scheme for computing Greeks by the asymptotic expansion approach
• Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
• Estimating option Greeks under the stochastic volatility using simulation

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