Title

Computations of Price Sensitivities after a Financial Market Crash.

Authors

El-Khatib, Youssef; Hatemi-J, Abdulnasser

Abstract

Several new approaches have been recently suggested in the literature for the computation of the price sensitivities. However, there is lack of studies that investigate this issue during financial crises. It is well known that the volatility increases during crises. This is going to affect the underlying option pricing, the sensitivities and consequently the risk. It is especially during the crisis 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 addresses the computation of price sensitivities after a financial market crash occurs. Our method is based on Malliavin calculus.

Subjects

PRICE sensitivity; FINANCIAL market reaction; FINANCIAL crises; MALLIAVIN calculus; PRECISION (Information retrieval); INVESTORS; GLOBALIZATION

Publication

IAENG International Journal of Applied Mathematics, 2011, Vol 41, Issue 4, p339

ISSN

1992-9978

Publication type

Academic Journal