Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation

11927 16 32445 3 62432 document 32445 Efficient calculation of the Greeks for exponential Levy processes.pdf application/pdf bbe9861cf4f8c94a0f03f68ffc63ec4c MD5 401408 2016-02-16 07:54:03 https://pure.iiasa.ac.at/id/eprint/11927/1/Efficient%20calculation%20of%20the%20Greeks%20for%20exponential%20Levy%20processes.pdf 11927 1 1 application/pdf text en public cc_by

Efficient calculation of the Greeks for exponential Levy processes.pdf

accepted 32446 2 62435 document 32446 lightbox.jpg image/png e81e2e51f94503cbe8a7910470e413c8 MD5 23603 2016-02-16 08:04:29 https://pure.iiasa.ac.at/id/eprint/11927/2/lightbox.jpg 11927 2 2 image/png other Thumbnails conversion from text to thumbnail_lightbox en staffonly

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/32445 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/32445 http://eprints.org/relation/isIndexCodesVersionOf https://pure.iiasa.ac.at/id/document/32445 archive 353 disk0/00/01/19/27 2016-02-15 11:08:23 2021-08-27 17:25:54 2016-02-15 11:08:23 article show Pflug G. 1361 0000-0001-8215-3550 Thoma P. Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation pub prog_risk prog_rpv Asian options; Estimation of the Greeks; Exotic options; Lookback option; Lévy-Processes; Measure valued differentiation Monte Carlo simulation methods have become more and more important in the financial sector in the past years. In this paper, we introduce a new simulation method for the estimation of the derivatives of prices of financial contracts with respect to (w.r.t.) certain distributional parameters called the ‘Greeks’. In particular, we assume that the underlying financial process is a Lévy-type process in discrete time. Our method is based on the Measure-Valued Differentiation (MVD) approach, which allows representation of derivatives as differences of two processes, called the phantoms. We discuss the applicability of MVD for different types of option pay-offs in combination with different types of models of the underlying and provide a framework for the applicability of MVD for path-dependent pay-off functions, as Lookback Options or Asian Options. 2016-02-01 published Routledge doi:10.1080/14697688.2015.1114364 229 public Quantitative Finance 16 2 247-257 TRUE 1469-7696 FALSE no info:eu-repo/semantics/article