相关论文: European and Asian Greeks for exponential L\'evy p…

Although many methods for computing the Greeks of discrete-time Asian options are proposed, few methods to calculate the Greeks of continuous-time Asian options are known. In this paper, we develop an integration by parts formula in the…

The computation of Greeks for exponential L\'evy models are usually approached by Malliavin Calculus and other methods, as the Likelihood Ratio and the finite difference method. In this paper we obtain exact formulas for Greeks of European…

In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply these ideas to the simulation of Greeks in Finance. First to European-type options where formulas can be computed explicitly and therefore…

This study introduces computation of option sensitivities (Greeks) using the Malliavin calculus under the assumption that the underlying asset and interest rate both evolve from a stochastic volatility model and a stochastic interest rate…

Malliavin calculus is a powerful and general framework for the analysis of square-integrable random variables, but it often suffers from a lack of tractability and explicit representations. To address this limitation, we focus on a subclass…

We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Montero and Kohatsu-Higa to the…

We focus on mean-variance hedging problem for models whose asset price follows an exponential additive process. Some representations of mean-variance hedging strategies for jump type models have already been suggested, but none is suited to…

We propose a numerical method for the valuation of European-style options under two-asset infinite-activity exponential L\'evy models. Our method extends the effective approach developed by Wang, Wan & Forsyth (2007) for the 1-dimensional…

Exponential L\'evy processes have been used for modelling financial derivatives because of their ability to exhibit many empirical features of markets. Using their multidimensional analogue, a general analytic pricing formula is obtained,…

We study counterfactual gradient estimation of conditional loss functionals of diffusion processes. In quantitative finance, these gradients are known as conditional Greeks: the sensitivity of expected market values, conditioned on some…

We introduce an algorithm for the pricing of finite expiry American options driven by L\'evy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouchard et al [5]), in such a way that the adjusted algorithm…

We compute Greeks for stochastic volatility models driven by Brownian informations. We use the Malliavin method introduced for deterministic volatility models.

In this paper a Malliavin calculus for L\'evy processes based on a family of true derivative operators is developed. The starting point is an extension to L\'evy processes of the pioneering paper by Carlen and Pardoux [8] for the Poisson…

We provide results relating to the integrability, uniform integrability and local integrability of exponential MAPs, which are natural extensions of exponential Levy models. Then, we use Mellin transform and partial integro-differential…

In this paper we derive tractable formulae for price sensitivities of two-dimensional spread options using Malliavin calculus. In particular, we consider spread options with asset dynamics driven by geometric Brownian motion and stochastic…

In financial mathematics, the calculation of the Greeks, especially the delta, is emphasized due to its role in risk management. In this article, we employ Malliavin calculus to determine the delta of European and Asian options, where the…

This paper deals with the computation of second or higher order greeks of financial securities. It combines two methods, Vibrato and automatic differentiation and compares with other methods. We show that this combined technique is faster…

In mathematical Finance calculating the Greeks by Malliavin weights has proved to be a numerically satisfactory procedure for finite-dimensional It\^{o}-diffusions. The existence of Malliavin weights relies on absolute continuity of laws of…

This paper investigates the pricing of financial derivatives and the calculation of their delta Greek when the underlying asset is a jump-diffusion process in which the stochastic intensity component follows the CIR process. Utilizing…

We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. In our framework, both the volatility and jump-intensity are allowed to vary stochastically in time…