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Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion

Author

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  • Reiichiro Kawai
  • Arturo Kohatsu-Higa

Abstract

The main purpose of this article is to propose computational methods for Greeks and the multidimensional density estimation for an asset price dynamics model defined with time-changed Brownian motions. Our approach is based on an application of the Malliavin integration-by-parts formula on the Gaussian space conditioning on the jump component. Some numerical examples are presented to illustrate the effectiveness of our results.

Suggested Citation

  • Reiichiro Kawai & Arturo Kohatsu-Higa, 2010. "Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(4), pages 301-321.
  • Handle: RePEc:taf:apmtfi:v:17:y:2010:i:4:p:301-321
    DOI: 10.1080/13504860903336429
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