ElKhatib, Youssef and Abdulnasser, HatemiJ (2011): On the calculation of price sensitivities with jumpdiffusion structure.
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Abstract
We provide a new theoretical framework for estimating the price sensitivities of a trading position with regard to five underlying factors in jumpdiffusion models using jump times Poisson noise. The proposition that results in a general solution is mathematically proved. The general solution that this paper offers can be applied to compute each price sensitivity. The suggested modeling approach deals with the shortcomings of the BlackScholes formula such as the jumps that can occur at any time in the stock's price. Via the Malliavin calculus we show that differentiation can be transformed into integration, which makes the price sensitivities operational and more efficient. Thus, the solution that is provided in this paper is expected to make decision making under uncertainty more efficient.
Item Type:  MPRA Paper 

Original Title:  On the calculation of price sensitivities with jumpdiffusion structure 
English Title:  On the calculation of price sensitivities with jumpdiffusion structure 
Language:  English 
Keywords:  Malliavin Calculus; Asset Pricing; Price Sensitivity; Jumpdiffusion Models; Jump Times Poisson Noise; European Options. 
Subjects:  G  Financial Economics > G1  General Financial Markets > G12  Asset Pricing ; Trading Volume ; Bond Interest Rates G  Financial Economics > G1  General Financial Markets > G10  General C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C60  General 
Item ID:  30596 
Depositing User:  Abdulnasser HatemiJ 
Date Deposited:  03 May 2011 16:01 
Last Modified:  28 Sep 2019 06:18 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/30596 
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