Malliavin calculus in a binomial framework

被引：0
|
作者：
Cohen, Samuel N. [1 ]
Elliott, Robert J. [2 ,3 ]
Siu, Tak Kuen [4 ]
机构：
[1] Univ Oxford, Math Inst, Oxford, England
[2] Univ Calgary, Haskayne Sch Business, Calgary, AB T2N 1N4, Canada
[3] Univ South Australia, Sch Commerce, Adelaide, SA 5001, Australia
[4] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW, Australia
来源：
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2018年 / 34卷 / 06期
基金：
澳大利亚研究理事会;
关键词：
backward stochastic differential equation; binomial model; Malliavin calculus; EQUATIONS;
D O I：
10.1002/asmb.2318
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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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页码：774 / 781
页数：8
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