Detemple, Jérôme; Garcia, René; Rindisbacher, Marcel - In: Finance and Stochastics 9 (2005) 3, pp. 349-367
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...