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Malliavin calculus in a binomial framework

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

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.

Suggested Citation

  • Samuel N. Cohen & Robert J. Elliott & Tak Kuen Siu, 2018. "Malliavin calculus in a binomial framework," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 34(6), pages 774-781, November.
    • Handle: RePEc:wly:apsmbi:v:34:y:2018:i:6:p:774-781
    DOI: 10.1002/asmb.2318
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