Malliavin Calculus applied to finance
Year of publication: |
2003
|
---|---|
Authors: | Montero, Miquel ; Kohatsu-Higa, Arturo |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 320.2003, C, p. 548-570
|
Publisher: |
Elsevier |
Subject: | Malliavin Calculus | Stochastic processes | Financial derivatives | Greeks | Monte Carlo methods |
-
Computation of Greeks for jump-diffusion models
Eddahbi, M'hamed, (2015)
-
Computing deltas without derivatives
BaƱos, D., (2017)
-
Hedging using simulation: a least squares approach
Tebaldi, Claudio, (2002)
- More ...
-
Local vega index and variance reduction methods
Bermin, Hans-Peter, (2003)
-
Kohatsu-Higa, Arturo, (2003)
-
An application of Malliavin Calculus to Finance
Kohatsu-Higa, Arturo, (2001)
- More ...