Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - Centre Interuniversitaire de Recherche en Analyse des … - 2000
the hedging components and (iii) an analysis of simulation-based numerical methods. The core of our approach relies on … closed form solutions for Melliavin derivatives of diffusion processes which simplify their numerical simulation and … facilitate the computation and simulation of the hedging components of optimal portfolios. One of our procedures relies on a …