Malliavin Monte Carlo Greeks for jump diffusions

Mark H.A. Davis and Martin P. Johansson

Stochastic Processes and their Applications, 2006, vol. 116, issue 1, 101-129

Abstract: In recent years efficient methods have been developed for calculating derivative price sensitivities using Monte Carlo simulation. Malliavin calculus has been used to transform the simulation problem in the case where the underlying follows a Markov diffusion process. In this work, recent developments in the area of Malliavin calculus for Lévy processes are applied and slightly extended. This allows for derivation of similar stochastic weights as in the continuous case for a certain class of jump-diffusion processes.

Keywords: Jump; process; Lévy; process; Monte; Carlo; estimation; Mathematical; finance (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(05)00114-6
Full text for ScienceDirect subscribers only

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:eee:spapps:v:116:y:2006:i:1:p:101-129

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().