A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach (Special Issue on Mathematical Finance, Published in "Asia-Pacific Financial Markets", Vol.11, 393-430, 2006. )

Matsuoka Ryosuke, Akihiko Takahashi and Yoshihiko Uchida
Additional contact information
Matsuoka Ryosuke: Tokyo Marine & Nichido Fire Insurance co., Ltd.
Akihiko Takahashi: Faculty of Economics, University of Tokyo
Yoshihiko Uchida: Graduate School of Economics, Osaka University

No CARF-F-044, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: We developed a new scheme for computing ?Greeks?of derivatives by an asymptotic expansion approach. In particular, we derived analytical approximation formulae for deltas and Vegas of plain vanilla and average European call options under general Markovian processes of underlying asset prices. Moreover, we introduced a new variance reduction method of Monte Carlo simulations based on the asymptotic expansion scheme. Finally, several numerical examples under CEV processes confirmed the validity of our method.

Pages: 34 pages
Date: 2005-09
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/45.pdf (application/pdf)

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:cfi:fseres:cf044

Access Statistics for this paper

More papers in CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by ().