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Title: Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
Authors: Kawai, Reiichiro
Kohatsu-Higa, Arturo
First Published: Sep-2010
Publisher: Taylor & Francis
Citation: Applied Mathematical Finance, 2010, 17 (4), pp. 301-321.
Abstract: 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.
DOI Link: 10.1080/13504860903336429
ISSN: 1350-486X
Version: Post print
Type: Article
Rights: © 2010 Taylor & Francis. Deposited with reference to the publisher's archiving policy available on the SHERPA/RoMEO website.
This paper was published as Applied Mathematical Finance, 2010, 17 (4), pp. 301-321. It is available from Doi: 10.1080/13504860903336429
Appears in Collections:Published Articles, Dept. of Mathematics

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