Abstract.
Using the Malliavin calculus on Poisson space we compute Greeks in a market driven by a discontinuous process with Poisson jump times and random jump sizes, following a method initiated on the Wiener space in [5]. European options do not satisfy the regularity conditions required in our approach, however we show that Asian options can be considered due to a smoothing effect of the integral over time. Numerical simulations are presented for the Delta and Gamma of Asian options, and confirm the efficiency of this approach over classical finite difference Monte-Carlo approximations of derivatives.
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Received: July 2003,
Mathematics Subject Classification (1991):
90A09, 90A12, 90A60, 60H07
JEL Classification:
C15, G12
We thank M. Coutaud for contributions to the simulations.
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El-Khatib, Y., Privault, N. Computations of Greeks in a market with jumps via the Malliavin calculus. Finance and Stochastics 8, 161–179 (2004). https://doi.org/10.1007/s00780-003-0111-6
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DOI: https://doi.org/10.1007/s00780-003-0111-6