Computation of Greeks in jump-diffusion models using discrete Malliavin calculus

Yoshifumi Muroi and Shintaro Suda

Mathematics and Computers in Simulation (MATCOM), 2017, vol. 140, issue C, 69-93

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.

Keywords: Discrete Malliavin calculus; Binomial trees; Greeks; European options; Jump-diffusion model (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:140:y:2017:i:c:p:69-93

DOI: 10.1016/j.matcom.2017.03.002

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