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Calculations of Greeks for Jump Diffusion Processes

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Abstract

We investigate the computation of Greeks for the jump diffusion process. In particular, we consider the Heston model and the Lévy process. For the Heston model, we first consider the case where no jumps are involved in the model. We then introduce jumps in both the price process and the volatility and compute the Greeks. In all this, we use Malliavin calculus. Finally, we consider the Greeks for the Lévy process. In particular, we compute Δ of an approximation of a Lévy process and then bypass through the limit arguments to obtain Δ for the original Lévy process.

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  1. University of Zululand, Private Bag X1001, Kwa-Dlangezwa, 3886, South Africa

    Farai Julius Mhlanga

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  1. Farai Julius Mhlanga
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Mhlanga, F.J. Calculations of Greeks for Jump Diffusion Processes. Mediterr. J. Math. 12, 1141–1160 (2015). https://doi.org/10.1007/s00009-014-0459-1

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  • DOI: https://doi.org/10.1007/s00009-014-0459-1

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