Malliavin calculus in finance

Arturo Kohatsu and Miquel Montero ()

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

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: Malliavin claculus; computational finance; Greeks; Monte Carlo methods; kernel density method (search for similar items in EconPapers)
JEL-codes: C63 G12 (search for similar items in EconPapers)
Date: 2003-04
New Economics Papers: this item is included in nep-fin
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:672

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