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Malliavin Monte Carlo Greeks for jump diffusions

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  • Davis, Mark H.A.
  • Johansson, Martin P.

Abstract

In recent years efficient methods have been developed for calculating derivative price sensitivities using Monte Carlo simulation. Malliavin calculus has been used to transform the simulation problem in the case where the underlying follows a Markov diffusion process. In this work, recent developments in the area of Malliavin calculus for Lévy processes are applied and slightly extended. This allows for derivation of similar stochastic weights as in the continuous case for a certain class of jump-diffusion processes.

Suggested Citation

  • Davis, Mark H.A. & Johansson, Martin P., 2006. "Malliavin Monte Carlo Greeks for jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 116(1), pages 101-129, January.
    • Handle: RePEc:eee:spapps:v:116:y:2006:i:1:p:101-129
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    References listed on IDEAS

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