Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree

Focuses on the resemblance between Bernoulli random variable and Brownian motion, a similarity providing deep insights into stochastic analysis

Introduces a spectral binomial tree method, a new methodology for pricing barrier options, which allows the price of barrier options to be computed much more quickly

Introduces the discrete Malliavin calculus, a new method for evaluating the sensitivity of options

Autorentext

Yoshifumi Muroi, Graduate School of Economics and Management, Tohoku University

Inhalt

Introduction.- Single-Period Model.- Multiple Time Model.- Application to Finance.- Spectral Binomial Tree.- Short Introduction to Malliavin Calculus in Continuous Time Model.- Discrete Malliavin Greeks.