Local integration by parts formula for Call options

Asked Mar 28 '19 at 19:46

Active Mar 28 '19 at 19:55

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I face a lot of difficulties to answer questions from past exam about Malliavin calculus and its application to finance and more precisely the pricing of a european call (I'm a student in a Msc in Quantitative Finance at La Sorbonne). I would be very grateful if you could help me. Thanks in advance.

edited Jun 12 '20 at 10:38

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asked Mar 28 '19 at 19:46

Minkowski Yaacov

i did prove in question b top to bottom but the other way seems difficult. And don't talk to me about question a – Minkowski Yaacov Mar 28 '19 at 20:13
c'mon i need a little help please – Minkowski Yaacov Mar 28 '19 at 21:00
the work is due on monday at midnight and i still don't know how to answer these two questions. If someone with enough goodwill (and a little knowledge of Malliavin Calculs) know how to answer these questions please contact me. – Minkowski Yaacov Mar 30 '19 at 21:01
I don't know if this little document is of some help : http://math.swansonsite.com/instructional/malliavin.pdf – Jean Marie Mar 31 '19 at 16:53
not really but thanks anyway – Minkowski Yaacov Mar 31 '19 at 18:21

Local integration by parts formula for Call options

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