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A Malliavin Calculus Computation of the Greeks Theta and Vega of Asian Option and Best of Asset Option

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  • Akeju Adeyemi. O

    (Department of Mathematics, University of Ibadan, Nigeria)

  • Ayoola. E. O

    (Department of Mathematics, University of Ibadan, Nigeria)

Abstract

We determine the Theta and the Vega sensitivity of Asian Option (AO) and Best of Asset option (BAO) via the properties of Malliavin calculus. These sensitivities which are represented by the Greeks are obtained with skorohod integral and the integration by part technique for stochastic variation of the Malliavin calculus. The weight functions of the Greeks for Asian Option (AO) and the Best of Asset option (BAO) were derived and this was used to determine expressions for the Greeks.

Suggested Citation

  • Akeju Adeyemi. O & Ayoola. E. O, 2023. "A Malliavin Calculus Computation of the Greeks Theta and Vega of Asian Option and Best of Asset Option," International Journal of Latest Technology in Engineering, Management & Applied Science, International Journal of Latest Technology in Engineering, Management & Applied Science (IJLTEMAS), vol. 12(10), pages 41-54, October.
    • Handle: RePEc:bjb:journl:v:12:y:2023:i:10:p:41-54
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