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...
| Authors: | , |
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| Format: | article |
| Status: | Versión aceptada para publicación |
| Publication Date: | 2003 |
| Country: | España |
| Institution: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repository: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/119292 |
| Online Access: | https://hdl.handle.net/2445/119292 |
| Access Level: | Open access |
| Keyword: | Càlcul de Malliavin Processos estocàstics Malliavin calculus Stochastic processes |
| Summary: | 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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