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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국통계학회 CSAM(Communications for Statistical Applications and Methods) CSAM(Communications for Statistical Applications and Methods) 제23권 제1호
- 발행연도
- 2016.1
- 수록면
- 21 - 32 (12page)
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We study asymptotic expansion formulae for numerical computation of Greeks (i.e. sensitivity) in finance.Our approach is based on the integration-by-parts formula of the Malliavin calculus. We propose asymptotic expansion of Greeks for a stochastic volatility model using the Greeks formula of the Black-Scholes model.A singular perturbation method is applied to derive asymptotic Greeks formulae. We also provide numerical simulation of our method and compare it to the Monte Carlo finite difference approach.
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UCI(KEPA) : I410-ECN-0101-2023-310-001573170