Fournié, Eric; Lasry, Jean-Michel; Lions, Pierre-Louis; … - In: Finance and Stochastics 3 (1999) 4, pp. 391-412
This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in finance. Our approach is based on the {\it integration-by-parts} formula, which lies at the core of the theory of variational stochastic calculus, as developed in the...