Discrete Malliavin calculus and computations of greeks in the binomial tree
Discrete Malliavin calculus and computations of greeks in the binomial tree
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DOI：
10.1016/j.ejor.2013.05.038
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发表时间：
2013-12
期刊：
影响因子：
--
通讯作者：
Yoshifumi Muroi;Shintaro Suda
中科院分区：
文献类型：
--
作者：
Yoshifumi Muroi;Shintaro Suda
本文提出了利用二叉树和离散Malliavin演算计算Greek的新方法。在过去的十年中，Malliavin演算已经被认为是金融数学的主要工具之一。它在使用蒙特卡罗模拟计算希腊人中特别重要。在以前的研究中，希腊人通常由来自Malliavin演算的期望公式表示，这些期望是使用Monte Carlo模拟计算的。另一方面，二叉树方法也可以用来计算这些期望值。本文利用离散的Malliavin演算，用二叉树方法得到了希腊人的期望公式。所有的结果都是以一种初等的方式得到的。
This paper proposes new methods for computation ofgreeksusing the binomial tree and the discrete Malliavin calculus. In the last decade, the Malliavin calculus has come to be considered as one of the main tools in financial mathematics. It is particularly important in the computation of greeks using Monte Carlo simulations. In previous studies, greeks were usually represented by expectation formulas that are derived from the Malliavin calculus and these expectations are computed using Monte Carlo simulations. On the other hand, the binomial tree approach can also be used to compute these expectations. In this article, we employ thediscrete Malliavin calculusto obtain expectation formulas for greeks by the binomial tree method. All the results are obtained in an elementary manner.