Computation of Greeks using Malliavin's calculus in jump type market models

被引：18

作者：

Bavouzet-Morel, MP

Messaoud, M

机构：

[1] INRIA Rocquencourt, Projet MATHFI, F-78150 Le Chesnay, France

[2] IXIS, F-75648 Paris 13, France

来源：

ELECTRONIC JOURNAL OF PROBABILITY | 2006年 / 11卷

关键词：

Malliavin calculus; Monte-Carlo algorithm; Euler scheme; compound Poisson process; sensitivity analysis; European options; Asian options;

D O I：

10.1214/EJP.v11-314

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We use the Malliavin calculus for Poisson processes in order to compute sensitivities for European and Asian options with underlying following a jump type diffusion. The main point is to settle an integration by parts formula ( similar to the one in the Malliavin calculus) for a general multidimensional random variable which has an absolutely continuous law with differentiable density. We give an explicit expression of the differential operators involved in this formula and this permits to simulate them and consequently to run a Monte Carlo algorithm.

引用

页码：276 / 300

页数：25

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