Bismut–Elworthy–Li formula for subordinated Brownian motion applied to hedging financial derivatives

Figures & data

Figure 1. Price evolution from SSDE and GBm models.

Figure 2. Digital option delta: $\alpha =0.8,r=0.1,\sigma =0.2,S_0=110,E=100,T=1$.

Figure 3. Digital option gamma: $\alpha =0.8,r=0.1,\sigma =0.2,S_0=110,E=100,T=1$.

Figure 4. BEL formula with $\alpha =0.8,r=0.1,\sigma =0.2,S_0=110,E=100$.

Figure 5. Finite-difference method for Call Greeks from SSDE with $\alpha =0.7,r=0.1,\sigma =0.2,S_0=110,E=100$.