IDEAS home Printed from https://ideas.repec.org/a/taf/apmtfi/v17y2010i4p301-321.html
   My bibliography  Save this article

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

Author

Listed:
  • Reiichiro Kawai
  • Arturo Kohatsu-Higa

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.

Suggested Citation

  • Reiichiro Kawai & Arturo Kohatsu-Higa, 2010. "Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(4), pages 301-321.
    • Handle: RePEc:taf:apmtfi:v:17:y:2010:i:4:p:301-321
    DOI: 10.1080/13504860903336429
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/13504860903336429
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504860903336429?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gian Luca Tassinari & Michele Leonardo Bianchi, 2014. "Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-34.
    2. 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.
    3. Reiichiro Kawai, 2012. "Likelihood ratio gradient estimation for Meixner distribution and Lévy processes," Computational Statistics, Springer, vol. 27(4), pages 739-755, December.
    4. M. Kateregga & S. Mataramvura & D. Taylor & Xibin Zhang, 2017. "Bismut–Elworthy–Li formula for subordinated Brownian motion applied to hedging financial derivatives," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1384125-138, January.
    5. Reiichiro Kawai, 2013. "Local Asymptotic Normality Property for Ornstein–Uhlenbeck Processes with Jumps Under Discrete Sampling," Journal of Theoretical Probability, Springer, vol. 26(4), pages 932-967, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apmtfi:v:17:y:2010:i:4:p:301-321. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAMF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.