Malliavin Calculus in Finance

  • Arturo Kohatsu-Higa
  • Miquel Montero


This article is an introduction to Malliavin Calculus for practitioners. We treat one specific application to the calculation of greeks in Finance. We consider also the kernel density method to compute greeks and an extension of the Vega index called the local vega index.


Option Price Geometric Brownian Motion Stochastic Volatility Model European Option Asian Option 


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Copyright information

© Springer Science+Business Media New York 2004

Authors and Affiliations

  • Arturo Kohatsu-Higa
    • 1
  • Miquel Montero
    • 2
  1. 1.Department of EconomicsUniversitat Pompeu FabraBarcelonaSpain
  2. 2.Departament de Física FonamentalUniversitat de BarcelonaBarcelonaSpain

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