TY - JOUR
T1 - Computation of Greeks in jump-diffusion models using discrete Malliavin calculus
AU - Muroi, Yoshifumi
AU - Suda, Shintaro
N1 - Funding Information:
The first author's work was supported by Japan Society for the Promotion of Science, Grant-in-Aid for Scientific Research (C) 16K03731. The views expressed in this paper are those of the authors and do not necessarily reflect the official views of the MTEC.
Publisher Copyright:
© 2017 International Association for Mathematics and Computers in Simulation (IMACS)
PY - 2017/10
Y1 - 2017/10
N2 - 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.
AB - 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.
KW - Binomial trees
KW - Discrete Malliavin calculus
KW - European options
KW - Greeks
KW - Jump-diffusion model
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U2 - 10.1016/j.matcom.2017.03.002
DO - 10.1016/j.matcom.2017.03.002
M3 - Article
AN - SCOPUS:85017177160
SN - 0378-4754
VL - 140
SP - 69
EP - 93
JO - Mathematics and Computers in Simulation
JF - Mathematics and Computers in Simulation
ER -