Option pricing and sensitivity analysis in the Lévy forward process model
Eddahbi, M. . 2016
The purpose of this article is to give a closed Fourier-based valuation
formula for a caplet in the framework of the Lévy forward process model which was
introduced in Eberlein and Özkan (2005) [8]. Afterwards, we compute Greeks by
two approaches which come from totally different mathematical fields. The first is
based on the integration-by-parts formula, which lies at the core of the application
of the Malliavin calculus to finance. The second consists in using Fourier-based
methods for pricing derivatives as exposed in Eberlein (2014) [3]. We illustrate the
results in the case where the jump part of the underlying model is driven by a time-inhomogeneous Gamma process and alternatively by a Variance Gamma process.
This paper deals with numerical analysis of solutions to stochastic differential equations
with jumps (SDEJs) with measurable drifts that may have quadratic growth. The main tool used is…
In this paper we are interested in solving numerically quadratic SDEs with non-necessary continuous drift of the from
\begin{equation*}
X_{t}=x+\int_{0}^{t}b(s,X_{s})ds+\int_{0}^{t}f(…
We study both Malliavin regularity and numerical approximation schemes for a class of quadratic backward stochastic