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2006 Computation of Greeks using Malliavin's calculus in jump type market models
Marie Pierre Bavouzet, Marouen Messaoud
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Electron. J. Probab. 11: 276-300 (2006). DOI: 10.1214/EJP.v11-314

Abstract

We use the Malliavin calculus for Poisson processes in order to compute sensitivities for European and Asian options with underlying following a jump type diffusion. The main point is to settle an integration by parts formula (similar to the one in the Malliavin calculus) for a general multidimensional random variable which has an absolutely continuous law with differentiable density. We give an explicit expression of the differential operators involved in this formula and this permits to simulate them and consequently to run a Monte Carlo algorithm

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Marie Pierre Bavouzet. Marouen Messaoud. "Computation of Greeks using Malliavin's calculus in jump type market models." Electron. J. Probab. 11 276 - 300, 2006. https://doi.org/10.1214/EJP.v11-314

Information

Accepted: 31 March 2006; Published: 2006
First available in Project Euclid: 31 May 2016

zbMATH: 1113.60057
MathSciNet: MR2217817
Digital Object Identifier: 10.1214/EJP.v11-314

Subjects:
Primary: 60H07
Secondary: 60J75 , 65C05

Keywords: Asian options , compound Poisson process , Euler scheme , European options , Malliavin calculus , Monte-Carlo algorithm , sensitivity analysis

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