Computation of Greeks for asset price dynamics driven by stable and tempered stable processes

DOI10.1080/14697688.2011.589403zbMath1281.91186OpenAlexW2110597814MaRDI QIDQ5397463

Reiichiro Kawai, Atsushi Takeuchi

Publication date: 20 February 2014

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

Full work available at URL: https://figshare.com/articles/journal_contribution/Computation_of_Greeks_for_asset_price_dynamics_driven_by_stable_and_tempered_stable_processes/10103651

zbMATH Keywords

finite difference methodsensitivity analysisMalliavin calculusMonte Carlo simulationLévy processGreeksCGMY process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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