Smart Monte Carlo: various tricks using Malliavin calculus

DOI10.1088/1469-7688/2/5/301zbMath1405.91688OpenAlexW3121370489MaRDI QIDQ4646793

Eric Benhamou

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/2/5/301

zbMATH Keywords

Malliavin calculusHeston modelMonte Carlo pricing engines

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (7)

Computation of the Delta of European options under stochastic volatility models ⋮ Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus ⋮ Pricing Asian options via compound gamma and orthogonal polynomials ⋮ Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing ⋮ Sensitivity of option prices via fuzzy Malliavin calculus ⋮ APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH ⋮ Hedging using simulation: a least squares approach

Cites Work

• Unnamed Item
• Computation of Greeks for barrier and look-back options using Malliavin calculus
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Estimating Security Price Derivatives Using Simulation
• Optimal Malliavin Weighting Function for the Computation of the Greeks
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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