Malliavin Calculus applied to finance
In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply these ideas to the simulation of Greeks in Finance. First to European-type options where formulas can be computed explicitly and therefore can serve as testing ground. Later, we study the case of Asi...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2003 |
| País: | España |
| Institución: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repositorio: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/119292 |
| Acceso en línea: | https://hdl.handle.net/2445/119292 |
| Access Level: | acceso abierto |
| Palabra clave: | Càlcul de Malliavin Processos estocàstics Malliavin calculus Stochastic processes |
| Sumario: | In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply these ideas to the simulation of Greeks in Finance. First to European-type options where formulas can be computed explicitly and therefore can serve as testing ground. Later, we study the case of Asian options where close formulas are not available, and we also open the view for including more exotic derivatives. The Greeks are computed through Monte Carlo simulation. |
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