Computation of Greeks using Malliavin's calculus in jump type market models

zbMATH Open1113.60057MaRDI QIDQ850403FDOQ850403

Authors: Marie-Pierre Bavouzet-Morel, Marouen Messaoud 

Publication date: 3 November 2006

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/127538

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cited In (24)

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• Sensitivity analysis of a class of interest rate derivatives in a variance gamma Lévy market
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• Sensitivities of options via Malliavin calculus: applications to markets of exponential variance gamma and normal inverse Gaussian processes
• Integration by parts formula and applications to equations with jumps
• Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
• A representation theorem and a sensitivity result for functionals of jump diffusions
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• Numerical computation of Theta in a jump-diffusion model by integration by parts
• Computing Greeks for Lévy Models: The Fourier Transform Approach
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• Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
• Integration by Parts for Point Processes and Monte Carlo Estimation
• Smart expansion and fast calibration for jump diffusions
• European and Asian Greeks for exponential Lévy processes
• Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus

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