DOI QR코드

DOI QR Code

Asymptotic computation of Greeks under a stochastic volatility model

Park, Sang-Hyeon;Lee, Kiseop

  • 투고 : 2015.08.16
  • 심사 : 2015.12.05
  • 발행 : 2016.01.31

초록

We study asymptotic expansion formulae for numerical computation of Greeks (i.e. sensitivity) in finance. Our approach is based on the integration-by-parts formula of the Malliavin calculus. We propose asymptotic expansion of Greeks for a stochastic volatility model using the Greeks formula of the Black-Scholes model. A singular perturbation method is applied to derive asymptotic Greeks formulae. We also provide numerical simulation of our method and compare it to the Monte Carlo finite difference approach.

키워드

computation of Greeks;asymptotics;stochastic volatility;singular perturbation;Malliavin calculus

참고문헌

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