Artikel
Nonparametric Malliavin-Monte Carlo computation of hedging Greeks
We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l-method, generally outperforms the standard Monte Carlo finite difference method, especially for discontinuous payoffs. Furthermore, our approach is nonparametric, as we only assume a general local volatility model and we substitute the volatility and the other processes involved in the Greek formula with quantities that can be nonparametrically estimated from a given time series of observed prices.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 4 ; Pages: 1-17 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
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Delta hedging
risk management
Monte Carlo simulation
Malliavin calculus
price-volatility feedback rate
nonparametric estimation
fourier analysis
- Ereignis
-
Geistige Schöpfung
- (wer)
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Mancino, Maria Elvira
Sanfelici, Simona
- Ereignis
-
Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
-
2020
- DOI
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doi:10.3390/risks8040120
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Mancino, Maria Elvira
- Sanfelici, Simona
- MDPI
Entstanden
- 2020
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