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Smart Monte Carlo: Various tricks using Malliavin calculus
Benhamou, Eric - EconWPA - 2002
Current Monte Carlo pricing engines may face computational challenge for the Greeks, because of not only their time …
Persistent link: https://www.econbiz.de/10005134656
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Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LI...
Fries, Christian P.; Kampen, Joerg - EconWPA - 2005
expectations w.r.t. model parameters (i.e. sensitivities, aka. Greeks) by applying finite differences by reevaluating the …
Persistent link: https://www.econbiz.de/10005561564
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Option pricing with orthogonal polynomial expansions
Ackerer, Damien; Filipović, Damir - 2017
nested affine case. We also derive and numerically validate series representations for option Greeks. We depict an extension …
Persistent link: https://www.econbiz.de/10011870651
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Simulated testing of nonparametric measure changes for hedging European options
Smith, Godfrey - In: Finance Research Letters 10 (2013) 2, pp. 93-101
We test the accuracy and hedging performance of the deltas given by a range of nonparametric measure changes. The nonparametric models accurately estimate deltas across a number of asset price dynamics. The optimal nonparametric measure change displays superior estimation bias, which depends on...
Persistent link: https://www.econbiz.de/10010679286
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Bismut-Elworthy-Li formula for subordinated Brownian motion applied to hedging financial derivatives
Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-25
formulas for computing financial Greeks and show that in the event when L t ≡t, we retrieve the results in Fournié et al … financial Greeks for a digital option and show that the BEL formula still performs better for a discontinuous pay-off in a jump … strategies (the Greeks) in jump-type derivatives market as opposed to more complex jump models. …
Persistent link: https://www.econbiz.de/10011988796
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Bismut-Elworthy-Li formula for subordinated Brownian motion applied to hedging financial derivatives
Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent economics & finance 5 (2017) 1, pp. 1-25
formulas for computing financial Greeks and show that in the event when L t ≡t, we retrieve the results in Fournié et al. (1999 … financial Greeks for a digital option and show that the BEL formula still performs better for a discontinuous pay-off in a jump … strategies (the Greeks) in jump-type derivatives market as opposed to more complex jump models. …
Persistent link: https://www.econbiz.de/10011886622
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Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus
Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - Centre for Research into Industry, Enterprise, Finance … - 2009
We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and...
Persistent link: https://www.econbiz.de/10005017306
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A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, … - Department of Economics and Business, Universitat … - 2008
In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull...
Persistent link: https://www.econbiz.de/10005772513
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On the closed-form approximation of short-time random strike options
Alòs, Elisa; León, Jorge A. - Department of Economics and Business, Universitat … - 2013
In this paper we propose a general technique to develop first and second order closed-form approximation formulas for short-time options with random strikes. Our method is based on Malliavin calculus techniques and allows us to obtain simple closed-form approximation formulas depending on the...
Persistent link: https://www.econbiz.de/10010660296
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Fine Gaussian fluctuations on the Poisson space II: Rescaled kernels, marked processes and geometric U-statistics
Lachièze-Rey, Raphaël; Peccati, Giovanni - In: Stochastic Processes and their Applications 123 (2013) 12, pp. 4186-4218
Continuing the analysis initiated by Lachièze-Rey and Peccati (2013), we use contraction operators to study the normal approximation of random variables having the form of a U-statistic written on the points in the support of a random Poisson measure. Applications are provided to subgraph...
Persistent link: https://www.econbiz.de/10011065028