Malliavin Calculus in Finance

Arturo Kohatsu-Higa () and Miquel Montero
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Arturo Kohatsu-Higa: Universitat Pompeu Fabra, Department of Economics
Miquel Montero: Universitat de Barcelona, Departament de Física Fonamental

Chapter 4 in Handbook of Computational and Numerical Methods in Finance, 2004, pp 111-174 from Springer

Abstract: Abstract 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.

Keywords: Option Price; Geometric Brownian Motion; Stochastic Volatility Model; European Option; Asian Option (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-8176-8180-7_4

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DOI: 10.1007/978-0-8176-8180-7_4

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