Representation formulas for Malliavin derivatives of diffusion processes

We provide new representation formulas for Malliavin derivatives of diffusions, based on a transformation of the underlying processes. Both the univariate and the multivariate cases are considered. First order as well as higher order Malliavin derivatives are characterized. Numerical illustrations of the benefits of the transformation are provided. Copyright Springer-Verlag Berlin/Heidelberg 2005

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Year of publication:	2005
Authors:	Detemple, Jérôme ; Garcia, René ; Rindisbacher, Marcel
Published in:	Finance and Stochastics. - Springer. - Vol. 9.2005, 3, p. 349-367
Publisher:	Springer
Subject:	Malliavin derivatives \| Doss transformation \| multivariate diffusions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005184358