Numerical computation of Theta in a jump-diffusion model by integration by parts

DOI10.1080/14697680902814191zbMath1175.91176OpenAlexW2033237854MaRDI QIDQ3182748

Delphine David, Nicolas Privault

Publication date: 16 October 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/inria-00070196/file/RR-5829.pdf

zbMATH Keywords

financial mathematicscomputational financeapplied mathematical financeEuropean financial markets

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes

Cites Work

• Applications of Malliavin calculus to Monte Carlo methods in finance
• Malliavin Monte Carlo Greeks for jump diffusions
• The Malliavin Calculus and Related Topics
• QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS
• Unnamed Item

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