Computation of Greeks using the discrete Malliavin calculus and binomial tree

DOI10.1007/978-981-19-1073-9zbMATH Open1503.91009OpenAlexW4226279283MaRDI QIDQ2122555

Yoshifumi Muroi

Publication date: 6 April 2022

Published in: SpringerBriefs in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-19-1073-9

zbMATH Keywords

Malliavin calculusspectral expansionbinomial modelSkorohod integraldiscrete-time stochastic processesoptions pricingClack-Ocone formula

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Martingales with discrete parameter (60G42) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (3)

Computations of Greeks in a market with jumps via the Malliavin calculus ⋮ Computation of Greeks using Malliavin's calculus in jump type market models ⋮ Discrete Malliavin calculus and computations of Greeks in the binomial tree

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