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...

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Autores: Montero Torralbo, Miquel, Kohatsu-Higa, Arturo
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2003
País:España
Institución:Universidad de Barcelona
Repositorio:Dipòsit Digital de la UB
OAI Identifier:oai:diposit.ub.edu: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
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spelling Malliavin Calculus applied to financeMontero Torralbo, MiquelKohatsu-Higa, ArturoCàlcul de MalliavinProcessos estocàsticsMalliavin calculusStochastic processesIn 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.Elsevier B.V.2003info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://hdl.handle.net/2445/119292Articles publicats en revistes (Física de la Matèria Condensada)reponame:Dipòsit Digital de la UBinstname:Universidad de BarcelonaInglésVersió postprint del document publicat a: https://doi.org/10.1016/S0378-4371(02)01531-5Physica A, 2003, vol. 320, p. 548-570https://doi.org/10.1016/S0378-4371(02)01531-5(c) Elsevier B.V., 2003info:eu-repo/semantics/openAccessoai:diposit.ub.edu:2445/1192922026-05-27T06:46:51Z
dc.title.none.fl_str_mv Malliavin Calculus applied to finance
title Malliavin Calculus applied to finance
spellingShingle Malliavin Calculus applied to finance
Montero Torralbo, Miquel
Càlcul de Malliavin
Processos estocàstics
Malliavin calculus
Stochastic processes
title_short Malliavin Calculus applied to finance
title_full Malliavin Calculus applied to finance
title_fullStr Malliavin Calculus applied to finance
title_full_unstemmed Malliavin Calculus applied to finance
title_sort Malliavin Calculus applied to finance
dc.creator.none.fl_str_mv Montero Torralbo, Miquel
Kohatsu-Higa, Arturo
author Montero Torralbo, Miquel
author_facet Montero Torralbo, Miquel
Kohatsu-Higa, Arturo
author_role author
author2 Kohatsu-Higa, Arturo
author2_role author
dc.subject.none.fl_str_mv Càlcul de Malliavin
Processos estocàstics
Malliavin calculus
Stochastic processes
topic Càlcul de Malliavin
Processos estocàstics
Malliavin calculus
Stochastic processes
description 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.
publishDate 2003
dc.date.none.fl_str_mv 2003
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/119292
url https://hdl.handle.net/2445/119292
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: https://doi.org/10.1016/S0378-4371(02)01531-5
Physica A, 2003, vol. 320, p. 548-570
https://doi.org/10.1016/S0378-4371(02)01531-5
dc.rights.none.fl_str_mv (c) Elsevier B.V., 2003
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) Elsevier B.V., 2003
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier B.V.
publisher.none.fl_str_mv Elsevier B.V.
dc.source.none.fl_str_mv Articles publicats en revistes (Física de la Matèria Condensada)
reponame:Dipòsit Digital de la UB
instname:Universidad de Barcelona
instname_str Universidad de Barcelona
reponame_str Dipòsit Digital de la UB
collection Dipòsit Digital de la UB
repository.name.fl_str_mv
repository.mail.fl_str_mv
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