Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion

Reiichiro Kawai and Arturo Kohatsu-Higa

Applied Mathematical Finance, 2010, vol. 17, issue 4, 301-321

Abstract: 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 Gaussian space conditioning on the jump component. Some numerical examples are presented to illustrate the effectiveness of our results.

Keywords: Integration-by-parts formula; Malliavin calculus; normal inverse Gaussian process; time-changed Brownian motion; variance gamma process (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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DOI: 10.1080/13504860903336429

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