Sensitivity analysis for averaged asset price dynamics with gamma processes

DOI10.1016/j.spl.2009.09.010zbMath1186.60044OpenAlexW2058644991MaRDI QIDQ1044013

Reiichiro Kawai, Atsushi Takeuchi

Publication date: 10 December 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Sensitivity_analysis_for_averaged_asset_price_dynamics_with_gamma_processes/10092377

zbMATH Keywords

sensitivity indicesaveraged asset price dynamicsEsscher density transformgamma Lévy processunbiased Monte Carlo estimators

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (8)

ASYMPTOTIC EXPANSION FOR THE TRANSITION DENSITIES OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE GAMMA PROCESSES ⋮ Computation of Greeks in jump-diffusion models using discrete Malliavin calculus ⋮ Computation of Greeks for asset price dynamics driven by stable and tempered stable processes ⋮ Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws ⋮ Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps ⋮ Likelihood ratio gradient estimation for Meixner distribution and Lévy processes ⋮ GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives

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