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来源类型	Article
规范类型	其他
DOI	10.1080/14697688.2015.1114364
	Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation.
	Pflug G; Thoma P
发表日期	2016
出处	Quantitative Finance 16 (2): 247-257
出版年	2016
语种	英语
摘要	Monte Carlo simulation methods have become more and more important in the financial sector in the past years. In this paper, we introduce a new simulation method for the estimation of the derivatives of prices of financial contracts with respect to (w.r.t.) certain distributional parameters called the ‘Greeks’. In particular, we assume that the underlying financial process is a Lévy-type process in discrete time. Our method is based on the Measure-Valued Differentiation (MVD) approach, which allows representation of derivatives as differences of two processes, called the phantoms. We discuss the applicability of MVD for different types of option pay-offs in combination with different types of models of the underlying and provide a framework for the applicability of MVD for path-dependent pay-off functions, as Lookback Options or Asian Options.
主题	Risk & ; Resilience (RISK) ; Risk, Policy and Vulnerability (RPV)
关键词	Asian options Estimation of the Greeks Exotic options Lookback option Lévy-Processes Measure valued differentiation
URL	http://pure.iiasa.ac.at/id/eprint/11927/
来源智库	International Institute for Applied Systems Analysis (Austria)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/130541
推荐引用方式 GB/T 7714	Pflug G,Thoma P. Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation.. 2016.

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