TY - GEN
T1 - Computations of price sensitivities after a financial market crash
AU - El-Khatib, Youssef
AU - Hatemi-J, Abdulnasser
PY - 2013/1/1
Y1 - 2013/1/1
N2 - Several new approaches have been recently suggested in the literature for the computation of the price sensitivities of financial assets. However, there is lack of studies that investigate this issue during financial crises. It is a well-known fact that the volatility increases significantly during financial crises. This increased volatility is naturally going to affect the underlying option pricing, the price sensitivities and consequently the management of the underlying risk. It is especially during the crises that the investors require to have access to precise calculations in order to deal with the increased level of risk. This issue is especially relevant due to the globalization. Thus, to compute the price sensitivities in such a scenario is crucial. This paper is the first attempt to the best knowledge to address the computation of price sensitivities after a financial market crash occurs. Our method to tackle the problem is based on Malliavin calculus.
AB - Several new approaches have been recently suggested in the literature for the computation of the price sensitivities of financial assets. However, there is lack of studies that investigate this issue during financial crises. It is a well-known fact that the volatility increases significantly during financial crises. This increased volatility is naturally going to affect the underlying option pricing, the price sensitivities and consequently the management of the underlying risk. It is especially during the crises that the investors require to have access to precise calculations in order to deal with the increased level of risk. This issue is especially relevant due to the globalization. Thus, to compute the price sensitivities in such a scenario is crucial. This paper is the first attempt to the best knowledge to address the computation of price sensitivities after a financial market crash occurs. Our method to tackle the problem is based on Malliavin calculus.
UR - http://www.scopus.com/inward/record.url?scp=84865446325&partnerID=8YFLogxK
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U2 - 10.1007/978-1-4614-2317-1_20
DO - 10.1007/978-1-4614-2317-1_20
M3 - Conference contribution
AN - SCOPUS:84865446325
SN - 9781461423164
T3 - Lecture Notes in Electrical Engineering
SP - 239
EP - 248
BT - Electrical Engineering and Intelligent Systems
T2 - International Conference in Electrical Engineering and Intelligent Systems, (WCE 2011).
Y2 - 6 July 2011 through 8 July 2011
ER -