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Computation of Greeks in jump-diffusion models using discrete Malliavin calculus

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  • Muroi, Yoshifumi
  • Suda, Shintaro

Abstract

In the last decade, many studies have investigated the computation of Greeks (sensitivity of options) for European options, American options, exotic options, and so on using Malliavin calculus. Moreover, many studies have derived Greeks using jump-diffusion models. In this paper, we investigate a new computation scheme to derive Greeks in a jump-diffusion model using discrete Malliavin calculus. This method enables us to obtain Greeks for European options using the binomial tree approach.

Suggested Citation

  • Muroi, Yoshifumi & Suda, Shintaro, 2017. "Computation of Greeks in jump-diffusion models using discrete Malliavin calculus," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 140(C), pages 69-93.
    • Handle: RePEc:eee:matcom:v:140:y:2017:i:c:p:69-93
    DOI: 10.1016/j.matcom.2017.03.002
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    References listed on IDEAS

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    1. Muroi, Yoshifumi & Suda, Shintaro, 2013. "Discrete Malliavin calculus and computations of greeks in the binomial tree," European Journal of Operational Research, Elsevier, vol. 231(2), pages 349-361.
    2. Suda, Shintaro & Muroi, Yoshifumi, 2015. "Computation of Greeks using binomial trees in a jump-diffusion model," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 93-110.
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    1. Muroi, Yoshifumi & Suda, Shintaro, 2022. "Binomial tree method for option pricing: Discrete cosine transform approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 198(C), pages 312-331.

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