Pure Mathematics
E-print 3, 2007
Author(s):
F. E. Benth, M. Groth, O. Wallin
Title:
Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic
volatility model
Abstract:
We derive derivative-free formulas for the delta and other Greeks
of options written on an asset modeled by a geometric Brownian motion with
stochastic volatility of Barndorff-Nielsen and Shephard type.
The method applies the Malliavin Calculus in Wiener space which moves
differentiation of the payoff function of the option to a random weight
function. Our method paves the way for simple Monte Carlo approaches,
illustrated by several numerical examples.
A pdf version of the entire e-print.