Pages that link to "Item:Q1979069"
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The following pages link to Applications of Malliavin calculus to Monte Carlo methods in finance (Q1979069):
Displayed 29 items.
- Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options (Q853652) (← links)
- A new computational scheme for computing Greeks by the asymptotic expansion approach (Q853863) (← links)
- Efficient stochastic sensitivity analysis of discrete event systems (Q870582) (← links)
- Pricing participating products under a generalized jump-diffusion model (Q936992) (← links)
- Prices and sensitivities of Asian options: A survey (Q939350) (← links)
- Optimal portfolio choice for unobservable and regime-switching mean returns (Q951435) (← links)
- Pricing American Asian options with higher moments in the underlying distribution (Q953394) (← links)
- Hedging using simulation: a least squares approach (Q956433) (← links)
- Malliavin calculus applied to finance (Q1859758) (← links)
- Representation theorems for backward stochastic differential equations (Q1872357) (← links)
- Malliavin Greeks without Malliavin calculus (Q2464862) (← links)
- Kernel estimation of Greek weights by parameter randomization (Q2467608) (← links)
- Estimating multidimensional density functions for random variables in Wiener space (Q2476540) (← links)
- A Malliavin calculus approach to sensitivity analysis in insurance (Q2485535) (← links)
- Representations and regularities for solutions to BSDEs with reflections (Q2485839) (← links)
- The Malliavin gradient method for the calibration of stochastic dynamical models (Q2493710) (← links)
- Computation of optimal portfolios using simulation-based dimension reduction (Q2518536) (← links)
- Discrete-time approximation for continuously and discretely reflected BSDEs (Q2518617) (← links)
- Representation of solutions to BSDEs associated with a degenerate FSDE (Q2572394) (← links)
- Malliavin Monte Carlo Greeks for jump diffusions (Q2576959) (← links)
- Application of kernel-based stochastic gradient algorithms to option pricing (Q3516785) (← links)
- What you should know about simulation and derivatives (Q3612294) (← links)
- Optimal Malliavin Weighting Function for the Computation of the Greeks (Q4409036) (← links)
- Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach (Q5315933) (← links)
- Local diffusion models for stochastic reacting systems: estimation issues in equation-free numerics (Q5426644) (← links)
- Stochastic differential equations—some new ideas (Q5433512) (← links)
- Integration by Parts for Point Processes and Monte Carlo Estimation (Q5440650) (← links)
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (Q5464338) (← links)
- A new technique for calibrating stochastic volatility models: the Malliavin gradient method (Q5484638) (← links)