English, Article, Journal or magazine article edition: A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks Eric Benhamou

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Bookmark: http://trove.nla.gov.au/version/45557
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
Author
  • Eric Benhamou
Physical Description
  • preprint
Notes
  • This paper presented a new technique for the simulation of the Greeks (i.e. price sensitivities to parameters), efficient for strongly discontinuous payo¤ options. The use of Malliavin calculus, by means of an integration by parts, enables to shift the differentiation operator from the payo¤ function to the diffusion kernel, introducing a weighting function.(Fournie et al. (1999)). Expressing the weighting function as a Skorohod integral, we show how to characterize the integrand with necessary and sufficient conditions, giving a complete description of weighting function solutions. Interestingly, for adapted process, the Skorohod integral turns to be the classical Ito integral.
  • Monte-Carlo, Quasi-Monte Carlo, Greeks,Malliavin Calculus, Wiener Chaos.
  • RePEc:wpa:wuwpfi:0212003
  • This paper presented a new technique for the simulation of the Greeks (i.e. price sensitivities to parameters), efficient for strongly discontinuous payoff options. The use of Malliavin calculus, by means of an integration by parts, enables to shift the differentiation operator from the payoff function to the diffusion kernel, introducing a weighting function.(Fournie et al. (1999)). Expressing the weighting function as a Skorohod integral, we show how to characterise the integrand with necessary and sufficient conditions, giving a complete description of weighting function solutions. Interestingly, for adapted process, the Skorohod integral turns to be the classical Ito integral.
  • RePEc:fmg:fmgdps:dp350
Language
  • English
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