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Title: Greeks Formulas for an Asset Price Model with Gamma Processes
Authors: Kawai, Reiichiro
Takeuchi, Atsushi
First Published: 2010
Publisher: John Wiley & Sons
Citation: Mathematical Finance, 2011, 21 (4), pp. 723-742
Abstract: Greeks formulas of Delta, Rho, Vega, and Gamma are derived in closed formfor asset price dynamics described by gamma processes and Brownian motions time-changed by a gamma process. The model considered here includes many well-known models of practical interest, such as the variance gamma model and the Black–Scholes model. Our approach is based upon the Malliavin calculus for jump processes by making full use of a scaling property of gamma processes with respect to the Girsanov transform. The existence of their variance is investigated. Numerical results are provided to illustrate that the derived Greeks formulas have faster rate of convergence relative to the finite difference method.
DOI Link: 10.1111/j.1467-9965.2010.00452.x
ISSN: 0960-1627
eISSN: 1467-9965
Type: Article
Rights: 2010 Wiley Periodicals, Inc.
Description: Full text of this item is not currently available on the LRA. The final published version may be available through the links above.
Appears in Collections:Published Articles, Dept. of Mathematics

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