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Title:

Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models

Document type:
Zeitschriftenaufsatz
Author(s):
Khedher, A.
Abstract:
We study the robustness of options prices to model variation in a multidimensional jump-diffusion framework. In particular we consider price dynamics in which small variations are modeled either by a Poisson random measure with infinite activity or by a Brownian motion. We consider both European and Exotic option and we study their deltas using two approaches: the Malliavin method and the Fourier method. We prove robustness of the deltas to model variation. We apply these results to the study of...     »
Journal title:
Stochastic Analysis and Applications
Year:
2012
Journal volume:
30
Journal issue:
3
Pages contribution:
403–425
Reviewed:
ja
Language:
en
Status:
Verlagsversion / published
Format:
Text
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