Computation of Greeks using binomial trees in a jump-diffusion model

DOI10.1016/j.jedc.2014.09.032zbMath1402.91815OpenAlexW2011761187MaRDI QIDQ1623987

Shintaro Suda, Yoshifumi Muroi

Publication date: 15 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2014.09.032

zbMATH Keywords

greeksoptionsjump-diffusion modelbinomial tree

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Computation of Greeks in jump-diffusion models using discrete Malliavin calculus

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• A Jump-Diffusion Model for Option Pricing
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Computation of Greeks using Malliavin's calculus in jump type market models
• Numerical analysis on binomial tree methods for a jump-diffusion model.
• The rate of convergence of the binomial tree scheme
• Malliavin calculus applied to finance
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Discrete Malliavin calculus and computations of Greeks in the binomial tree
• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach

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