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Computation of Greeks using Malliavin's calculus in jump type market models

Marie-Pierre Bavouzet 1 Marouen Messaoud 1
1 MATHFI - Financial mathematics
Inria Paris-Rocquencourt, ENPC - École des Ponts ParisTech, UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12
Abstract : We use the Malliavin calculus for Poisson processes in order to compute sensitivities for European options with underlying following a jump type diffusion. The main point is to settle an integration by parts formula (similar to the one in the Malliavin calculus) for a general multidimensional random variable which has an absolutely continuous law with differentiable density. We give an explicit expression of the differential operators involved in this formula and this permits to simulate them and consequently to run a Monte Carlo algorithm.
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https://hal.inria.fr/inria-00070525
Contributor : Rapport de Recherche Inria <>
Submitted on : Friday, May 19, 2006 - 8:46:01 PM
Last modification on : Wednesday, September 4, 2019 - 1:52:07 PM
Long-term archiving on: : Sunday, April 4, 2010 - 9:24:27 PM

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  • HAL Id : inria-00070525, version 1

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Marie-Pierre Bavouzet, Marouen Messaoud. Computation of Greeks using Malliavin's calculus in jump type market models. [Research Report] RR-5482, INRIA. 2005, pp.31. ⟨inria-00070525⟩

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