English, Article, Journal or magazine article edition: Malliavin Calculus in Finance Arturo Kohatsu; Montero Miquel

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Bookmark: http://trove.nla.gov.au/version/112098
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Malliavin Calculus in Finance
Author
  • Arturo Kohatsu
  • Montero Miquel
Physical Description
  • preprint
Notes
  • 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.
  • Malliavin claculus, computational finance, Greeks, Monte Carlo methods, kernel density method
  • RePEc:upf:upfgen:672
Language
  • English
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