An application of Malliavin Calculus to Finance

Details An application of Malliavin Calculus to Finance An application of Malliavin Calculus to Finance

2001-11-29

arxiv.org/abs/cond-mat/0111563v1

Physica A 320 (2003) 548 -- 570

Physics

Condensed Matter

Statistical Mechanics

12 pages, 3 figures, coference proceedins

Scientific paper

In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply these ideas to the simulation of Greeks in Finance. First to European-type options where formulas can be computed explicitly and therefore can serve as testing ground. Later we study the case of Asian options where close formulas are not available. The Greeks are computed through Monte Carlo simulation.

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