On the calculation of price sensitivities with jump-diffusion structure
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- Youssef El-Khatib & Nicolas Privault, 2004. "Computations of Greeks in a market with jumps via the Malliavin calculus," Finance and Stochastics, Springer, vol. 8(2), pages 161-179, May.
- 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.
- Kawai, Reiichiro & Takeuchi, Atsushi, 2010. "Sensitivity analysis for averaged asset price dynamics with gamma processes," Statistics & Probability Letters, Elsevier, vol. 80(1), pages 42-49, January.
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KeywordsMalliavin Calculus; Asset Pricing; Price Sensitivity; Jump-diffusion Models; Jump Times Poisson Noise; European Options.;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-14 (All new papers)
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