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Computation of Greeks Using Malliavin Calculus

Pavlenko, Oleksandr
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Abstract
The objective of this paper is to explore application of Malliavin calculus techniques to the problem of estimating greeks of financial derivative contracts. In the core of the method is the integration by parts formula of Malliavin calculus. After a short introduction to the theory of Malliavin calculus, the technique is described on different types of option contracts, such as vanilla calls, digital, Asian and some barrier and lookback options.
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Date
2015-08-31
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University of Kansas
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Mathematics Dissertations and Theses
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Pavlenko_ku_0099M_14143_DATA_1.pdf
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Keywords
Mathematics, greeks, Malliavin calculus
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https://hdl.handle.net/1808/19545
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