A Malliavin Calculus Computation of the Greeks Theta and Vega of Asian Option and Best of Asset Option

Akeju Adeyemi. O and Ayoola. E. O
Additional contact information
Akeju Adeyemi. O: Department of Mathematics, University of Ibadan, Nigeria
Ayoola. E. O: Department of Mathematics, University of Ibadan, Nigeria

International Journal of Latest Technology in Engineering, Management & Applied Science, 2023, vol. 12, issue 10, 41-54

Abstract: We determine the Theta and the Vega sensitivity of Asian Option (AO) and Best of Asset option (BAO) via the properties of Malliavin calculus. These sensitivities which are represented by the Greeks are obtained with skorohod integral and the integration by part technique for stochastic variation of the Malliavin calculus. The weight functions of the Greeks for Asian Option (AO) and the Best of Asset option (BAO) were derived and this was used to determine expressions for the Greeks.

Date: 2023
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.ijltemas.in/DigitalLibrary/Vol.12Issue10/41-54.pdf (application/pdf)
https://www.ijltemas.in/papers/volume-12-issue-10/41-54.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bjb:journl:v:12:y:2023:i:10:p:41-54

Access Statistics for this article

International Journal of Latest Technology in Engineering, Management & Applied Science is currently edited by Dr. Pawan Verma

More articles in International Journal of Latest Technology in Engineering, Management & Applied Science from International Journal of Latest Technology in Engineering, Management & Applied Science (IJLTEMAS)
Bibliographic data for series maintained by Dr. Pawan Verma ().