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Applications of Malliavin calculus to Monte Carlo methods in finance

E. Fournié, J. Lasry, Jérôme Lebuchoux, P. Lions, N. Touzi

1999FINANCE AND STOCHASTICS

DOI: 10.1007/s007800050068

tlooto Summary

An original probabilistic method for the numerical computations of Greeks in finance, based on the Greeks formulae, which is compared to the Monte Carlo finite difference approach and turns out to be very efficient in the case of discontinuous payoff functionals.

Abstract

Abstract is not available.

Citation format

FOURNIÉ, E., et al. Applications of malliavin calculus to monte carlo methods in finance. FINANCE AND STOCHASTICS, 1999, 3: 391–412.