IDEAS home Printed from https://ideas.repec.org/p/cfi/fseres/cf033.html
   My bibliography  Save this paper

A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach ( Revised as CARF-F-044(2005); Published in "FSA Research Review", 72-108, 2005. ?

Author

Listed:
  • Ryosuke Matsuoka

    (Graduate School of Economics, University of Tokyo)

  • Akihiko Takahashi

    (Faculty of Economics, University of Tokyo)

  • Yoshihiko Uchida

    (Graduate School of Economics, Osaka University)

Abstract

We developed a new scheme for computing "Greeks"of derivatives by an asymptotic expansion approach. In particular, we derived analytical approximation formulae for deltas and vegas of plain vanilla and average call options under general Markovian processes of underlying asset prices. We also derived approximation formulae for gammas of plain vanilla and average call options, and for deltas of digital options under CEV(Constant Elasticity of Variance) processes of underlying assets' prices. Moreover, we introduced a new variance reduction method of Monte Carlo simulations based on the asymptotic expansion scheme. Finally, several numerical examples under CEV processes confirmed the validity of our method.

Suggested Citation

  • Ryosuke Matsuoka & Akihiko Takahashi & Yoshihiko Uchida, 2005. "A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach ( Revised as CARF-F-044(2005); Published in "FSA Research Review", 72-108, 2005. ?," CARF F-Series CARF-F-033, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    • Handle: RePEc:cfi:fseres:cf033
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cfi:fseres:cf033. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/catokjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.