Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That

Peter B. Lerner

Papers from arXiv.org

Abstract: The extremely useful method of Malliavin calculus has not yet gained adequate popularity because of the complicated analytic apparatus of this method. The author attempts here to propose a simplified algebraic formalism similar to Malliavin calculus, but based on the notion of creation-annihilation operators instead of Malliavin derivative to replace analytic theorems with algebraic computations. Three test problems: the valuation of portfolio with stochastic payoff function, the expression of the terminal payoff through stochastic integral and the approximate equation for the high-frequency market measure are discussed in Appendices.

Date: 2014-11, Revised 2016-07
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1411.2950 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1411.2950

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().