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Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion

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journal contribution
posted on 04.08.2010, 14:21 by Reiichiro Kawai, Arturo Kohatsu-Higa
The main purpose of this article is to propose computational methods for Greeks and the multidimensional density estimation for an asset price dynamics model defined with time-changed Brownian motions. Our approach is based on an application of the Malliavin integration-by-parts formula on the Gaussian space conditioning on the jump component. Some numerical examples are presented to illustrate the effectiveness of our results.

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Citation

Applied Mathematical Finance, 2010, 17 (4), pp. 301-321.

Version

AM (Accepted Manuscript)

Published in

Applied Mathematical Finance

Publisher

Taylor & Francis

issn

1350-486X

Copyright date

2010

Available date

04/08/2010

Publisher version

http://www.tandfonline.com/doi/abs/10.1080/13504860903336429

Language

en

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