Corpus ID: 235359224

European and Asian Greeks for exponential L\'evy processes

@inproceedings{Hudde2016EuropeanAA,
  title={European and Asian Greeks for exponential L\'evy processes},
  author={Anselm Hudde and L. Ruschendorf},
  year={2016}
}
In this paper we give easy-to-implement closed expressions for European and Asian Greeks for general L-payoff functions and underlying assets in an exponential Lévy process model with nonvanishing Brownian motion part. The results are based on Hilbert space valued Malliavin Calculus and extend previous results from the literature. Numerical experiments suggest, that in the case of an continuous payoff function, a combination of Malliavin Monte Carlo Greeks and the finite difference method has a… Expand

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References

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