Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods

DOI10.1016/j.amc.2014.03.057zbMath1335.91091OpenAlexW1991417769MaRDI QIDQ273346

Yongzeng Lai, Haixiang Yao, Yong-jia Xu

Publication date: 21 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.03.057

zbMATH Keywords

Malliavin calculusMonte Carlo and quasi-Monte Carlo methodsmultiasset optionsoption sensitivities or greeks

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS ⋮ European and Asian Greeks for exponential Lévy processes

Uses Software

• TOMS659
• sobol.cc

Cites Work

• Prices and sensitivities of Asian options: A survey
• Intermediate rank lattice rules and applications to finance
• Malliavin calculus applied to finance
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Pricing Options Using Lattice Rules
• Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
• Remark on algorithm 659
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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