In this article, we consider the numerical computations associated to the Greeks of barrier and lookback options, using Malliavin calculus. For this, we derive some integration by parts formulae involving the maximum and minimum of a one dimensional di®usion. Numerical tests illustrate the gain of accuracy compared to classical methods
Using the Malliavin calculus on Poisson space we compute Greeks in a market driven by a discontinuou...
This paper is the sequel of Part I [1], where we showed how to use the so-called Malliavin calculus ...
Praca poświęcona jest pewnemu działowi analizy stochastycznej znanemu jako rachunek Malliavina oraz ...
The Greeks of options are problematic to calculate both numerically and analytically when the struct...
The objective of this paper is to explore application of Malliavin calculus techniques to the proble...
In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply...
We use the Malliavin calculus for Poisson processes in order to compute sensitivities for European o...
This study introduces computation of option sensitivities (Greeks) using the Malliavin calculus unde...
The thesis uses Malliavin’s Stochastic Calculus of Variations to identify the hedging strategies for...
This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. ...
Following the pioneering papers of Fournié, Lasry, Lebouchoux, Lions and Touzi, an important work co...
The Greeks in finance are the partial derivatives of a financial quantity with respect to any of the...
This thesis consists of four theoretical essays on contingent claim analysis and its connection to M...
Following the pioneering papers of Fournié, Lasry, Lebouchoux, Lions and Touzi, an important work c...
We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional co...
Using the Malliavin calculus on Poisson space we compute Greeks in a market driven by a discontinuou...
This paper is the sequel of Part I [1], where we showed how to use the so-called Malliavin calculus ...
Praca poświęcona jest pewnemu działowi analizy stochastycznej znanemu jako rachunek Malliavina oraz ...
The Greeks of options are problematic to calculate both numerically and analytically when the struct...
The objective of this paper is to explore application of Malliavin calculus techniques to the proble...
In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply...
We use the Malliavin calculus for Poisson processes in order to compute sensitivities for European o...
This study introduces computation of option sensitivities (Greeks) using the Malliavin calculus unde...
The thesis uses Malliavin’s Stochastic Calculus of Variations to identify the hedging strategies for...
This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. ...
Following the pioneering papers of Fournié, Lasry, Lebouchoux, Lions and Touzi, an important work co...
The Greeks in finance are the partial derivatives of a financial quantity with respect to any of the...
This thesis consists of four theoretical essays on contingent claim analysis and its connection to M...
Following the pioneering papers of Fournié, Lasry, Lebouchoux, Lions and Touzi, an important work c...
We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional co...
Using the Malliavin calculus on Poisson space we compute Greeks in a market driven by a discontinuou...
This paper is the sequel of Part I [1], where we showed how to use the so-called Malliavin calculus ...
Praca poświęcona jest pewnemu działowi analizy stochastycznej znanemu jako rachunek Malliavina oraz ...