Calculating the Greeks by Cubature formulas

2004/10/05 by Josef Teichmann, Teichmann, Josef
Mathematics · #35R60 #60H07 #65C30 #Advanced Algebra and Geometry #Analytic Number Theory Research #FOS: Mathematics #Mathematical functions and polynomials #Numerical Analysis (math.NA) #Probability (math.PR)

paper · pdf · doi:10.48550/arxiv.math/0410112

openalex publication_date 2004/10/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We provide cubature formulas for the calculation of derivatives of expected values in the spririt of Terry Lyons and Nicolas Victoir. In financial mathematics derivatives of option prices with respect to initial values, so called Greeks, are of particular importance as hedging parameters. Cubature formulas allow to calculate these quantities very quickly. Simple examples are added to the theoretical exposition.

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