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On the Calculation of Price Sensitivities with a JumpDiffusion Structure
Journal of Statistics Applications & Probability
We provide an alternative approach for estimating the price sensitivities of a trading position with regard to underlying factors in jump-diffusion models using jump times Poisson noise. The proposition that results in a general solution is mathematically proved. The general solution that this paper offers can be applied to compute each price sensitivity. The suggested modeling approach deals with the shortcomings of the Black-Scholes formula such as the jumps that can occur at any time in thedoi:10.12785/jsap/010303 fatcat:bt6davlnnzbifgnuz6iadj6crm