Integration by parts formula for locally smooth laws and applications to sensitivity computations

DOI10.1214/105051606000000592zbMath1139.60025arXivmath/0702884OpenAlexW2112128340MaRDI QIDQ2467110

Marouen Messaoud, Vlad Bally, Marie-Pierre Bavouzet

Publication date: 18 January 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0702884

zbMATH Keywords

Malliavin calculusMonte Carlo simulationsensitivitiespure jump diffusions

Mathematics Subject Classification ID

Related Items (17)

Computation of sensitivities for the invariant measure of a parameter dependent diffusion ⋮ Functionals of a Lévy process on canonical and generic probability spaces ⋮ Sensitivity Analysis for Time-Inhomogeneous Lévy Process: A Malliavin Calculus Approach and Numerics ⋮ Coefficients of asymptotic expansions of SDE with jumps ⋮ The Lévy-Khintchine type operators with variable Lipschitz continuous coefficients generate linear or nonlinear Markov processes and semigroups ⋮ Integration by parts formula and applications to equations with jumps ⋮ Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes ⋮ Computation of Greeks for asset price dynamics driven by stable and tempered stable processes ⋮ Smooth invariant densities for random switching on the torus ⋮ Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps ⋮ Quasi-invariance and integration by parts for determinantal and permanental processes ⋮ Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion ⋮ Integration by Parts for Point Processes and Monte Carlo Estimation ⋮ Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches ⋮ Derivative formula and coupling property for linear SDEs driven by Lévy processes ⋮ GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES ⋮ Sensitivity analysis for averaged asset price dynamics with gamma processes

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