Integration by parts formula for locally smooth laws and applications to sensitivity computations (Q2467110)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Integration by parts formula for locally smooth laws and applications to sensitivity computations |
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Integration by parts formula for locally smooth laws and applications to sensitivity computations (English)
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18 January 2008
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The authors develop a Malliavin type calculus for functionals of the form \(F=f(V_1,\dots,V_n)\), where \(f\) is a smooth function and the \(V_i\)'s are random variables with absolutely continuous law \(p_i(y)dy\) which is assumed to be piecewise differentiable. An integration by parts formula is derived, which the authors then apply for numerical computations of sensitivities in a financial market model which is driven by a Lévy process.
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Malliavin calculus
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pure jump diffusions
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sensitivities
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Monte Carlo simulation
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