Malliavin calculus in a binomial framework

Samuel N. Cohen; Robert J. Elliott; Tak Kuen Siu

doi:10.1002/asmb.2318

Malliavin calculus in a binomial framework

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

^*Corresponding author for this work

Department of Actuarial Studies and Business Analytics

Research output: Contribution to journal › Article › peer-review

Abstract

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 language	English
Pages (from-to)	774-781
Number of pages	8
Journal	Applied Stochastic Models in Business and Industry
Volume	34
Issue number	6
Early online date	13 Feb 2018
DOIs	https://doi.org/10.1002/asmb.2318
Publication status	Published - 1 Nov 2018

Keywords

Backward stochastic differential equation
Binomial model
Malliavin calculus

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10.1002/asmb.2318

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title = "Malliavin calculus in a binomial framework",

abstract = "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.",

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author = "Cohen, \{Samuel N.\} and Elliott, \{Robert J.\} and Siu, \{Tak Kuen\}",

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AU - Siu, Tak Kuen

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KW - Binomial model

KW - Malliavin calculus

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DO - 10.1002/asmb.2318

M3 - Article

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IS - 6

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Malliavin calculus in a binomial framework

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Keywords

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