Malliavin calculus in a binomial framework

Samuel N. Cohen, Robert J. Elliott and Tak Kuen Siu

Applied Stochastic Models in Business and Industry, 2018, vol. 34, issue 6, 774-781

Abstract: The binomial model is a standard framework used to introduce risk neutral pricing of financial assets. Martingale representation, backward stochastic differential equations, and the Malliavin calculus are difficult concepts in a continuous‐time setting. This paper presents these ideas in the simple, discrete‐time binomial model.

Date: 2018
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https://doi.org/10.1002/asmb.2318

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:34:y:2018:i:6:p:774-781

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