Smart Monte Carlo: various tricks using Malliavin calculus

DOI10.1088/1469-7688/2/5/301MaRDI QIDQ4646793zbMATH OpenOpenAlexFDO

Authors 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

Heston modelMalliavin calculusMonte Carlo pricing engines

Mathematics Subject Classification ID

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

Recommendations

• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Asymptotic properties of Monte Carlo estimators of derivatives
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Malliavin Greeks without Malliavin calculus
• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

Cites work

• Applications of Malliavin calculus to Monte Carlo methods in finance
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Computation of Greeks for barrier and look-back options using Malliavin calculus
• Estimating Security Price Derivatives Using Simulation
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• Optimal Malliavin Weighting Function for the Computation of the Greeks

Cited in

(16)

• Monte Carlo methods for derivatives of options with discontinuous payoffs
• 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
• Malliavin Greeks without Malliavin calculus
• Asymptotic properties of Monte Carlo estimators of derivatives
• Vibrato Monte Carlo sensitivities
• Optimal Malliavin Weighting Function for the Computation of the Greeks
• Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing
• Conditional Monte Carlo scheme for stable Greeks of worst-of autocallable notes
• Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts
• APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
• Malliavin differentiability of the Heston volatility and applications to option pricing
• A new technique for calibrating stochastic volatility models: the Malliavin gradient method
• Sensitivity of option prices via fuzzy Malliavin calculus
• Hedging using simulation: a least squares approach

This page was built for publication: Smart Monte Carlo: various tricks using Malliavin calculus

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4646793)