Journal of Computational Finance

Risk.net

Estimating Greeks in Simulating Lévy-Driven Models

Paul Glasserman, Zongjian Liu

ABSTRACT

We develop methods for estimating price sensitivities by simulation for Lévydriven models. The methods combine pathwise derivatives and likelihood ratio method estimators with alternative approaches to approximating and simulating Lévy processes. We develop estimators based on exact sampling of increments, time-change representations of Lévy processes, saddlepoint approximations to the score functions of the increments, compound Poisson approximations and compoundPoisson approximations with Brownian approximations to small jumps. We discuss the relative merits of these various alternatives, both in theory and in practice, and we illustrate their use through examples.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: