@article{1446068,
      recid = {1446068},
      author = {Muroi, Yoshifumi.},
      title = {Computation of Greeks using the discrete Malliavian  calculus and binomial tree /},
      pages = {1 online resource (1 volume) :},
      abstract = {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.},
      url = {http://library.usi.edu/record/1446068},
      doi = {https://doi.org/10.1007/978-981-19-1073-9},
}