Malliavin calculus applied to finance

DOI10.1016/S0378-4371(02)01531-5zbMath1010.91046MaRDI QIDQ1859758

Arturo Kohatsu-Higa, Miquel Montero

Publication date: 19 February 2003

Published in: Physica A (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationformulas

Mathematics Subject Classification ID

Related Items (13)

Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods ⋮ Computation of Greeks using binomial trees in a jump-diffusion model ⋮ Multidimensional quasi-Monte Carlo Malliavin Greeks ⋮ Pricing and hedging Asian basket options with quasi-Monte Carlo simulations ⋮ SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS ⋮ Computation of Greeks in jump-diffusion models using discrete Malliavin calculus ⋮ Prices and sensitivities of Asian options: A survey ⋮ European and Asian Greeks for exponential Lévy processes ⋮ Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting ⋮ Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion ⋮ Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation ⋮ On Differentiation of Functionals Containing the First Exit of a Diffusion Process from a Domain ⋮ Discrete Malliavin calculus and computations of Greeks in the binomial tree

Cites Work

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• Applications of Malliavin calculus to Monte Carlo methods in finance
• On the Convergence Rates of IPA and FDC Derivative Estimators
• Estimating Security Price Derivatives Using Simulation
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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