Malliavin calculus in a binomial framework

DOI10.1002/asmb.2318zbMath1419.91659OpenAlexW2791385497MaRDI QIDQ4627094

Robert J. Elliott, Samuel N. Cohen, Tak Kuen Siu

Publication date: 7 March 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2318

zbMATH Keywords

Malliavin calculusbackward stochastic differential equationbinomial model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

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• Binomial models in finance.
• A general theory of finite state backward stochastic difference equations
• How to count and guess well: Discrete adaptive filters
• Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
• Backward Stochastic Differential Equations in Finance