Option Sensitivity Simulation by Malliavin Calculus and Quasi-Monte Carlo Methods

被引：1

作者：

Xu, Yongjia ^{[1
]}

Lai, Yongzeng ^{[2
]}

Zeng, Yan ^{[3
]}

机构：

[1] Guangdong Univ Business Studies, Coll Econ & Stat, Guangzhou, Guangdong, Peoples R China

[2] Wilfrid Laurier Univ, Dept Math, Waterloo, ON, Canada

[3] Sun Yat Sen Univ, Lingnan Univ Coll, Guangzhou, Peoples R China

来源：

2012 FIFTH INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING (BIFE) | 2012年

基金：

国家教育部科学基金资助;

关键词：

option sensitivity or Greek letter; Malliavin calculus; Monte Carlo method; quasi-Monte Carlo methods;

D O I：

10.1109/BIFE.2012.39

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

This paper discusses simulation of the sensitivities or Greek letters of options by Malliavin calculus (MV) combined with Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods. Formulas for Greek letters are derived for options with one underlying asset in both path independent and path dependent cases. Numerical results show that the MV method is much more efficient than the finite difference (FD) method for options with non-smooth payoff functions. The superiority of the first over the second is more significant when combined with QMC methods.

引用

页码：149 / 153

页数：5

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