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Malliavin calculus in finance

  • Arturo Kohatsu
  • Montero Miquel

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.

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File URL: http://www.econ.upf.edu/docs/papers/downloads/672.pdf
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Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 672.

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Date of creation: Apr 2003
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Handle: RePEc:upf:upfgen:672
Contact details of provider: Web page: http://www.econ.upf.edu/

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  1. 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.
  2. Mark Broadie & Paul Glasserman, 1996. "Estimating Security Price Derivatives Using Simulation," Management Science, INFORMS, vol. 42(2), pages 269-285, February.
  3. 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.
  4. 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.
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