منابع مشابه
Malliavin Greeks without Malliavin Calculus
We derive and analyze Monte Carlo estimators of price sensitivities (“Greeks”) for contingent claims priced in a diffusion model. There have traditionally been two categories of methods for estimating sensitivities: methods that differentiate paths and methods that differentiate densities. A more recent line of work derives estimators through Malliavin calculus. The purpose of this article is t...
متن کاملPricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
Following the pioneering papers of Fournié, Lasry, Lebouchoux, Lions and Touzi, an important work concerning the applications of the Malliavin calculus in numerical methods for mathematical finance has come after. One is concerned with two problems: computation of a large number of conditional expectations on one hand and computation of Greeks (sensitivities) on the other hand. A significant te...
متن کاملApplication of Malliavin calculus to stochastic partial differential equations
The Malliavin calculus is an infinite dimensional calculus on a Gaussian space, which is mainly applied to establish the regularity of the law of nonlinear functionals of the underlying Gaussian process. Suppose that H is a real separable Hilbert space with scalar product denoted by 〈·, ·〉H . The norm of an element h ∈ H will be denoted by ‖h‖H . Consider a Gaussian family of random variables W...
متن کاملMalliavin Calculus in Finance
This article is an introduction to Malliavin Calculus for practitioners. We treat one specific application to the calculation of greeks in Finance. We consider also the kernel density method to compute greeks and an extension of the Vega index called the local vega index.
متن کاملThe Malliavin Calculus
Acknowledgements I enjoyed the help and support from numerous friends and faculty members during whilst writing this thesis. My greatest debt however, goes to my supervisor, Professor Tony Dooley, who initiated me to the fantastic field of Malliavin calculus. With his incredible breadth and depth of knowledge and intuition, he guided me to structure and clarify my thought and suggested valuable...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2012
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2012.23023