Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258073 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 4 [Article No.:] 120 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l-method, generally outperforms the standard Monte Carlo finite difference method, especially for discontinuous payoffs. Furthermore, our approach is nonparametric, as we only assume a general local volatility model and we substitute the volatility and the other processes involved in the Greek formula with quantities that can be nonparametrically estimated from a given time series of observed prices.
Subjects: 
Delta hedging
risk management
Monte Carlo simulation
Malliavin calculus
price-volatility feedback rate
nonparametric estimation
fourier analysis
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.