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Computation of Greeks in jump-diffusion models using discrete Malliavin calculus

  • Published:2017-10 Issue: Volume:140 Page:69-93
  • ISSN:0378-4754
  • Container-title:Mathematics and Computers in Simulation
  • language:en
  • Short-container-title:Mathematics and Computers in Simulation

Author:

Muroi Yoshifumi,Suda Shintaro

Funder

Japan Society for the Promotion of Science

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference36 articles.

1. Jump diffusion valuation in discrete time;Amin;J. Financ.,1993

2. Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach;Bally;Monte Carlo Methods Appl.,2005

3. Computation of Greeks using Malliavin’s calculus in jump type market models;Bavouzet-Morel;Electron. J. Probab.,2006

4. Optimal Malliavin weighting function for the computation of the Greeks;Benhamou;Math. Finance,2003

5. Robustness of option prices and their deltas in markets modelled by jump-diffusions;Benth;Commun. Stoch. Anal.,2011

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Binomial tree method for option pricing: Discrete cosine transform approach;Mathematics and Computers in Simulation;2022-08

2. Application to Finance;Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree;2022

3. Introduction;Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree;2022

4. Binomial tree method for option pricing: Discrete Carr and Madan formula approach;International Journal of Financial Engineering;2021-05-14
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