We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l-method, generally outperforms the standard Monte Carlo finite difference method, especially for discontinuous payoffs. Furthermore, our approach is nonparametric, as we only assume...

We obtain the link between the Laplace transform of the price process and that of the volatility process in the context of a Brownian semi-martingale model. Relying on this result, we build a new nonparametric estimator of the instantaneous volatility which efficiently reconstructs the...