Simulation of multi-asset option Greeks under a special Lévy model by Malliavin calculus
Lai, Yongzeng ; Yao, Haixiang
ANZIAM Journal, Tome 56 (2016), / Harvested from Australian Mathematical Society
Link

We discuss simulation of sensitivities or Greeks of multi-asset European style options under a special Lévy process model: that is, the subordinated Brownian motion model. The Malliavin calculus method combined with Monte Carlo and quasi-Monte Carlo methods is used in the simulations. Greeks are expressed in terms of the expectations of the option payoff functions multiplied by the weights involving Malliavin derivatives for multi-asset options. Numerical results show that the Malliavin calculus method is usually more efficient than the finite difference method for options with nonsmooth payoffs. The superiority of the former method over the latter is even more significant when both are combined with quasi-Monte Carlo methods. doi:10.1017/S1446181115000292

Publié le : 2016-01-01
DOI : https://doi.org/10.21914/anziamj.v57i0.8936 
@article{8936,
     title = {Simulation of multi-asset option Greeks under a special  L\'evy model by Malliavin calculus},
     journal = {ANZIAM Journal},
     volume = {56},
     year = {2016},
     doi = {10.21914/anziamj.v57i0.8936},
     language = {EN},
     url = {http://dml.mathdoc.fr/item/8936}
}

Lai, Yongzeng; Yao, Haixiang. Simulation of multi-asset option Greeks under a special  Lévy model by Malliavin calculus. ANZIAM Journal, Tome 56 (2016) . doi : 10.21914/anziamj.v57i0.8936. http://gdmltest.u-ga.fr/item/8936/