Special greeks of a variance-gamma driven vasicek model

Abrupt happenings in financial markets have resulted to the need to adopt Lévy processes such as a variance gamma process in modelling financial derivatives since it has the ability to capture jumps that occur in such scenario. Sensitivity analysis in such market scenarios having characteristics of...

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Bibliographic Details
Published inScientific African Vol. 19; p. e01466
Main Authors Udoye, Adaobi M., Akinola, Lukman S.
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.03.2023
Elsevier
Subjects
60H07
62P05
91G30
Interest rate model
Malliavin calculus
Ornstein-Uhlenbeck operator
Variance gamma process
91G30
62P05
60H07
Malliavin calculus
Variance gamma process
Interest rate model
Ornstein-Uhlenbeck operator
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Summary:Abrupt happenings in financial markets have resulted to the need to adopt Lévy processes such as a variance gamma process in modelling financial derivatives since it has the ability to capture jumps that occur in such scenario. Sensitivity analysis in such market scenarios having characteristics of Lévy processes is made easier by adopting the integration by part techniques of Malliavin calculus. Thus, we apply the tools of the Malliavin calculus to obtain the special types of the greek vega required in sensitivity analysis in an interest rate market driven by the variance gamma process.
ISSN:2468-2276
2468-2276
DOI:10.1016/j.sciaf.2022.e01466