Article ID Journal Published Year Pages File Type
5128022 Mathematics and Computers in Simulation 2017 25 Pages PDF
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
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