Malliavin Greeks without Malliavin calculus

DOI10.1016/j.spa.2007.03.012zbMath1133.60030OpenAlexW2095791684MaRDI QIDQ2464862

Paul Glasserman, Nan Chen

Publication date: 17 December 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.03.012

zbMATH Keywords

weak convergenceMalliavin calculusMonte Carlo simulationlikelihood ratio methodpathwise derivative method

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cites Work

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• Weak limit theorems for stochastic integrals and stochastic differential equations
• Computation of Greeks for barrier and look-back options using Malliavin calculus
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Malliavin Monte Carlo Greeks for jump diffusions
• Optimal Malliavin Weighting Function for the Computation of the Greeks
• Local Vega Index and Variance Reduction Methods
• Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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