Applications of Malliavin calculus to Monte Carlo methods in finance

@article{Fourni1999ApplicationsOM,
  title={Applications of Malliavin calculus to Monte Carlo methods in finance},
  author={Eric Fourni{\'e} and J. Lasry and J{\'e}r{\^o}me Lebuchoux and P. Lions and N. Touzi},
  journal={Finance and Stochastics},
  year={1999},
  volume={3},
  pages={391-412}
}
Abstract. This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in finance. Our approach is based on the {\it integration-by-parts} formula, which lies at the core of the theory of variational stochastic calculus, as developed in the Malliavin calculus. The Greeks formulae, both with respect to initial conditions and for smooth perturbations of the local volatility, are provided for general discontinuous path-dependent payoff… Expand
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