An application of Malliavin Calculus to Finance

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dc.creatorKohatsu-Higa, Arturo
dc.creatorMontero, Miquel
dc.date2001-11-29
dc.date.accessioned2026-07-07T12:10:57Z
dc.date.available2026-07-07T12:10:57Z
dc.descriptionIn 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.
dc.description12 pages, 3 figures, coference proceedins
dc.identifierhttps://arxiv.org/abs/cond-mat/0111563
dc.identifierhttp://arxiv.org/abs/cond-mat/0111563
dc.identifierPhysica A 320 (2003) 548 -- 570
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210083
dc.subjectStatistical Mechanics
dc.subjectComputational Finance
dc.titleAn application of Malliavin Calculus to Finance
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