Discrete Malliavin calculus and computations of Greeks in the binomial tree

DOI10.1016/j.ejor.2013.05.038zbMath1317.91069OpenAlexW1986806397MaRDI QIDQ2356101

Shintaro Suda, Yoshifumi Muroi

Publication date: 28 July 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.05.038

zbMATH Keywords

European optionsGreeksbinomial treediscrete Malliavin calculus

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

Computation of Greeks using binomial trees in a jump-diffusion model ⋮ Sensitivity of option prices via fuzzy Malliavin calculus ⋮ Computation of Greeks in jump-diffusion models using discrete Malliavin calculus ⋮ General lattice methods for arithmetic Asian options

Cites Work

• Stochastic analysis in discrete and continuous settings. With normal martingales.
• Stochastic analysis of Bernoulli processes
• The rate of convergence of the binomial tree scheme
• Malliavin calculus applied to finance
• Applications of Malliavin calculus to Monte Carlo methods in finance
• The Malliavin Calculus and Related Topics
• Optimal Malliavin Weighting Function for the Computation of the Greeks
• Binomial models for option valuation - examining and improving convergence
• Option pricing: A simplified approach
• Unnamed Item

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