Malliavin 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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Guillaume Bernis & Emmanuel Gobet & Arturo Kohatsu-Higa, 2003. "Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 99-113.
- Mark Broadie & Paul Glasserman, 1996. "Estimating Security Price Derivatives Using Simulation," Management Science, INFORMS, vol. 42(2), pages 269-285, February.
- Naoto Kunitomo & Akihiko Takahashi, 2001. "The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 117-151.
- Arturo Kohatsu & Roger Pettersson, 2002. "Variance reduction methods for simulation of densities on Wiener space," Economics Working Papers 597, Department of Economics and Business, Universitat Pompeu Fabra.
When requesting a correction, please mention this item's handle: RePEc:upf:upfgen:672. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.