Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5128022 | Mathematics and Computers in Simulation | 2017 | 25 Pages |
Abstract
In the last decade, many studies have investigated the computation of Greeks (sensitivity of options) for European options, American options, exotic options, and so on using Malliavin calculus. Moreover, many studies have derived Greeks using jump-diffusion models. In this paper, we investigate a new computation scheme to derive Greeks in a jump-diffusion model using discrete Malliavin calculus. This method enables us to obtain Greeks for European options using the binomial tree approach.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Yoshifumi Muroi, Shintaro Suda,