Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree (Jss Research Series in Statistics)

This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk.