RT Journal Article
SR Electronic
T1 Malliavin Derivatives of Derivative Securities
JF The Journal of Derivatives
FD Institutional Investor Journals
SP 65
OP 73
DO 10.3905/jod.2022.30.2.065
VO 30
IS 2
A1 Tom P. Davis
YR 2022
UL https://pm-research.com/content/30/2/65.abstract
AB The Malliavin calculus has been used successfully to derive efficient formulas for delta and gamma. This article extends these results to all higher-order spatial derivatives with respect to the underlying asset for arbitrary payoffs in both the Black-Scholes (Black and Scholes 1973) (lognormal) and Bachelier (normal) models. The former reproduces a well-known result from Peter Carr (2000), whereas the latter extends this work to the normal case.