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...
| Autores: | , |
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| Tipo de documento: | artigo |
| Estado: | Versión aceptada para publicación |
| Data de publicação: | 2003 |
| País: | España |
| Recursos: | Universidad de Barcelona |
| Repositório: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/119292 |
| Acesso em linha: | https://hdl.handle.net/2445/119292 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Càlcul de Malliavin Processos estocàstics Malliavin calculus Stochastic processes |
| Resumo: | 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. |
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