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dc.contributor.authorFournié, Eric
dc.contributor.authorLasry, Jean-Michel
dc.contributor.authorLebuchoux, Jérôme
dc.contributor.authorLions, Pierre-Louis
dc.contributor.authorTouzi, Nizar
dc.date.accessioned2011-04-19T10:57:28Z
dc.date.available2011-04-19T10:57:28Z
dc.date.issued1999
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6014
dc.language.isoenen
dc.subjectMonte Carlo methodsen
dc.subjectMalliavin calculusen
dc.subjecthedge ratios and Greeksen
dc.subject.ddc519en
dc.subject.classificationjelC63en
dc.subject.classificationjelG13en
dc.titleApplications of Malliavin calculus to Monte Carlo methods in financeen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in finance. Our approach is based on the {\it integration-by-parts} formula, which lies at the core of the theory of variational stochastic calculus, as developed in the Malliavin calculus. The Greeks formulae, both with respect to initial conditions and for smooth perturbations of the local volatility, are provided for general discontinuous path-dependent payoff functionals of multidimensional diffusion processes. We illustrate the results by applying the formula to exotic European options in the framework of the Black and Scholes model. Our method is compared to the Monte Carlo finite difference approach and turns out to be very efficient in the case of discontinuous payoff functionals.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol3en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate1999
dc.relation.isversionofjnlpages391-412en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s007800050068en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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