Asymptotic computation of Greeks under a stochastic volatility model

被引：0
|
作者：
Park, Sang-Hyeon [1 ]
Lee, Kiseop [2 ]
机构：
[1] Daishin Secur, 16 Gugjegeumyung Ro 8 Gil, Seoul 07330, South Korea
[2] Univ Louisville, Dept Math, Louisville, KY 40292 USA
来源：
COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS | 2016年 / 23卷 / 01期
关键词：
computation of Greeks; asymptotics; stochastic volatility; singular perturbation; Malliavin calculus;
D O I：
10.5351/CSAM.2016.23.1.021
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：21 / 32
页数：12
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