COMPUTATION OF GREEKS FOR JUMP-DIFFUSION MODELS

In the present paper, we compute the Greeks for a class of jump diffusion models by using Malliavin calculus techniques. More precisely, the model under consideration is governed by a Brownian component and a jump part described by a compound Poisson process. Our approach consists of approximating t...

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Veröffentlicht in:	International journal of theoretical and applied finance 2015-09, Vol.18 (6), p.1
Hauptverfasser:	Eddahbi, M'Hamed, Cherif, Sidi Mohamed Lalaoui Ben, Nasroallah, Abdelaziz
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Brownian motion Mathematical models Poisson distribution Statistical methods Studies
Online-Zugang:	Volltext
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