Stochastic Calculus of Variations in Mathematical Finance
Publication year: 2006
ISBN: 978-3-540-30799-0
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This book starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finite-dimensional projections of infinite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options.
Subject: Mathematics and Statistics, American option, Insider information, Malliavin calculus, Market equilibrium, Monte Carlo weight, Price sensitivity, Stochastic Processes, Stochastic calculus, Volatility measurement, calculus
