Computation of Greeks using the discrete Malliavian calculus and binomial tree / Yoshifumi Muroi.
Muroi, Yoshifumi.
2022
QA274.2
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Title Computation of Greeks using the discrete Malliavian calculus and binomial tree / Yoshifumi Muroi.
Author Muroi, Yoshifumi.
ISBN 9789811910739 (electronic bk.)
9811910731 (electronic bk.)
9811910723
9789811910722
DOI https://doi.org/10.1007/978-981-19-1073-9
Published Singapore : Springer, 2022.
Language English
Description 1 online resource (1 volume) : illustrations (black and white).
Other Standard Identifiers 10.1007/978-981-19-1073-9 doi
Call Number QA274.2
Dewey Decimal Classification 519.2/2
Summary This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks. The binomial tree approach is one of the most popular methods in option pricing. Although it is a fairly traditional model for option pricing, it is still widely used in financial institutions since it is tractable and easy to understand. However, the book shows that the tree approach also offers a powerful tool for deriving the Greeks for options. Greeks are quantities that represent the sensitivities of the price of derivative securities with respect to changes in the underlying asset price or parameters. The Malliavin calculus, the stochastic methods of variations, is one of the most popular tools used to derive Greeks. However, it is also very difficult to understand for most students and practitioners because it is based on complex mathematics. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk. The discrete Malliavin calculus is significantly easier to understand, because the functional space of the Bernoulli random walk is realized in a finite dimensional space. As such, it makes this valuable tool far more accessible for a broad readership.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Source of Description Description based on print version record.
Series SpringerBriefs in statistics. JSS research series in statistics.
Available in Other Form COMPUTATION OF GREEKS USING THE DISCRETE MALLIAVIN CALCULUS AND BINOMIAL TREE.
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Record Appears in Online Resources > Ebooks
All Resources
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.

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