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Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion

By Reiichiro Kawai and Arturo Kohatsu-Higa


The main purpose of this article is to propose computational methods for Greeks and the multidimensional density estimation for an asset price dynamics model defined with time-changed Brownian motions. Our approach is based on an application of the Malliavin integration-by-parts formula on the Gaussian space conditioning on the jump component. Some numerical examples are presented to illustrate the effectiveness of our results.Post prin

Publisher: Taylor & Francis
Year: 2010
DOI identifier: 10.1080/13504860903336429
OAI identifier:

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