Discrete Malliavin calculus and computations of greeks in the binomial tree
Discrete Malliavin calculus approach is introduced to compute greeks (sensitivity) of the option prices. Discrete Malliavin calculus is Malliavin calculus on the binomial lattice. This method enables us to compute greeks easily using the binomial tree. Numerical demonstration indicates robustness of this method. All the results are obtained in an elementary manner.
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