Malliavin calculus in a binomial framework

DOI10.1002/ASMB.2318MaRDI QIDQ4627094zbMATH OpenOpenAlexFDO

Authors Samuel N. Cohen, Robert J. Elliott, Tak Kuen Siu

Publication date 7 March 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2318

zbMATH Keywords

Malliavin calculusbackward stochastic differential equationbinomial model

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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Cites work

• A general theory of finite state backward stochastic difference equations
• Backward Stochastic Differential Equations in Finance
• Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
• Binomial models in finance.
• How to count and guess well: Discrete adaptive filters
• On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model
• Stochastic analysis in discrete and continuous settings. With normal martingales.

Cited in

(9)

• scientific article; zbMATH DE number 926563 (Why is no real title available?)
• The binomial pricing model in finance: a formalization in Isabelle
• Construction of risk-neutral measure in a Brownian motion with exotic option
• A simple derivation of risk-neutral probability in the binomial option pricing model
• Discrete Malliavin calculus and computations of Greeks in the binomial tree
• scientific article; zbMATH DE number 2164159 (Why is no real title available?)
• Computation of Greeks using the discrete Malliavin calculus and binomial tree
• scientific article; zbMATH DE number 3986319 (Why is no real title available?)
• The measure transformation of the binomial model and its application

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