Estimating multidimensional density functions using the Malliavin-Thalmaier formula
Palabras clave:
Malliavin Calculus, financial engineering, Greeks, sensitivity analysis, density estimation
Resumen
The Malliavin-Thalmaier formula was introduced for simulation of high dimensional probability density functions. But when this integration by parts formula is applied directly in computer simulations, we show that it is unstable. We propose an approximation to the Malliavin-Thalmaier formula. In this paper, we find the order of the bias and the variance of the approximation error. And we obtain an explicit Malliavin-Thalmaier formula for the calculation of Greeks in finance. The weights obtained are free from the curse of dimensionality.
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Cómo citar
Kohatsu Higa, A., & Yasuda, K. (2007). Estimating multidimensional density functions using the Malliavin-Thalmaier formula. Pro Mathematica, 21(41-42), 61-106. Recuperado a partir de https://revistas.pucp.edu.pe/index.php/promathematica/article/view/10249
Derechos de autor 2016 Pro Mathematica
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