Computation of Greeks for barrier and look-back options using Malliavin calculus.
A Malliavin calculus method to study densities of additive functionals of SDE’s with irregular drifts
We present a general method which allows to use Malliavin Calculus for additive functionals of stochastic equations with irregular drift. This method uses the Girsanov theorem combined with Itô–Taylor expansion in order to obtain regularity properties for this density. We apply the methodology to the case of the Lebesgue integral of a diffusion with bounded and measurable drift.
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