NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
53rd NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
Session ID : 3B18
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OS22-2
Stochastic Sensitivity Analysis of Black-Sholes Equation Based on Malliavin Calculus
*Masato Koda
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Abstract
In a risk management of derivative securities, sensitivities of an option price are an important measure of the risk and there exists a great need for their efficient computation. Referred to as the Greeks in finance, e.g., Delta, Vega, etc., we investigate in this paper an application of Malliavin Calculus, which enables the computation of the Greeks without resorting to a direct evaluation of derivative sensitivity coefficients.
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© 2004 Committee for Mechanics and Structure,Science Council
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