CIRJE-F-338 | "A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach" |
Author Name | Matsuoka, Ryosuke and Akihiko Takahashi |
Date | April 2005 |
Full Paper | PDF file@ |
Remarks | Revised as CIRJE-F-366(2005); subsequently published in FSA Research Review 2005, 72-108, 2005. |
Abstract |
We developed a new scheme for computing "Greeks" of derivatives by an asymptotic expansion approach.
In particular, we derived analytical approximation formulae for Deltas and Vegas of plain vanilla and average
European call options under general Markovian processes of underlying asset prices. Moreover, we
introduced a new variance reduction method of Monte Carlo simulations based on the asymptotic expansion
scheme. Finally, several numerical examples under CEV processes confirmed the validity of our method. |