PR ] 2 M ar 2 01 6 European and Asian Greeks for exponential Lévy processes

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY（2016）

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摘要

In this article we use Malliavin Calculus in order to find closed expressions for European and Asian Greeks where the underlying asset is driven by an exponential Lévy process. This approach allows to extend the Monte Carlo Malliavin method to the Greeks of exponential jump diffusions.

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关键词

Malliavin Calculus,Asian Greeks,Jump Diffusions

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