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

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.

MoreLess

Year of publication:	2010
Authors:	Kawai, Reiichiro ; Kohatsu-Higa, Arturo
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 17.2010, 4, p. 301-321
Publisher:	Taylor & Francis Journals
Subject:	Integration-by-parts formula \| Malliavin calculus \| normal inverse Gaussian process \| time-changed Brownian motion \| variance gamma process

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008675009