Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree

This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks.

The binomial tree approach is one of the most popular methods in option pricing. Although it is...