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Computation of Greeks using Malliavin's calculus in jump type market models

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Computation of Greeks using Malliavin's calculus in jump type market models
2.	Creator	Author's name, affiliation, country	Marie Pierre Bavouzet; INRIA Rocquencourt, MATHFI project
2.	Creator	Author's name, affiliation, country	Marouen Messaoud; IXIS and INRIA Rocquencourt
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Malliavin calculus ; Monte-Carlo algorithm ; Euler scheme ; compound Poisson process; sensitivity analysis ; European options ; Asian options
3.	Subject	Subject classification	60H07;60J75; 65C05
4.	Description	Abstract	We use the Malliavin calculus for Poisson processes in order to compute sensitivities for European and Asian options with underlying following a jump type diffusion. The main point is to settle an integration by parts formula (similar to the one in the Malliavin calculus) for a general multidimensional random variable which has an absolutely continuous law with differentiable density. We give an explicit expression of the differential operators involved in this formula and this permits to simulate them and consequently to run a Monte Carlo algorithm
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)	INRIA
7.	Date	(YYYY-MM-DD)	2006-03-31
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/314
10.	Identifier	Digital Object Identifier	10.1214/EJP.v11-314
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 11
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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