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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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...     »
Zeitschriftentitel:
Stochastic Analysis and Applications
Jahr:
2012
Band / Volume:
30
Heft / Issue:
3
Seitenangaben Beitrag:
403–425
Reviewed:
ja
Sprache:
en
Status:
Verlagsversion / published
Format:
Text
 BibTeX
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