Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied Mathematical Finance 17 (2010) 4, pp. 301-321
The main purpose of this article is to propose computational methods for Greeks and the multidimensional density estimation for an asset price dynamics model defined with time-changed Brownian motions. Our approach is based on an application of the Malliavin integration-by-parts formula on the...