An application of Malliavin Calculus to Finance

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

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. The Greeks are computed through Monte Carlo simulation.
12 pages, 3 figures, coference proceedins

Keywords

Statistical Mechanics, Computational Finance

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/210083

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0111563
 http://arxiv.org/abs/cond-mat/0111563
 Physica A 320 (2003) 548 -- 570

Collections

arXiv