Malliavin calculus in a binomial framework

Samuel N. Cohen, Robert J. Elliott*, Tak Kuen Siu

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


The binomial model is a standard framework used to introduce risk neutral pricing of financial assets. Martingale representation, backward stochastic differential equations, and the Malliavin calculus are difficult concepts in a continuous-time setting. This paper presents these ideas in the simple, discrete-time binomial model.

Original languageEnglish
Pages (from-to)774-781
Number of pages8
JournalApplied Stochastic Models in Business and Industry
Issue number6
Early online date13 Feb 2018
Publication statusPublished - 1 Nov 2018


  • Backward stochastic differential equation
  • Binomial model
  • Malliavin calculus


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