Malliavin sensitivity analysis with polynomial growth payoff functions under the Black-Scholes model (Q3121472): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.14495/jsiaml.9.1 / rank | |||
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| Property / cites work: Applications of Malliavin calculus to Monte Carlo methods in finance / rank | |||
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| Property / cites work: Optimal Malliavin Weighting Function for the Computation of the Greeks / rank | |||
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| Property / cites work: Variance Reduction Methods for Simulation of Densities on Wiener Space / rank | |||
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Latest revision as of 19:26, 18 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Malliavin sensitivity analysis with polynomial growth payoff functions under the Black-Scholes model |
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Malliavin sensitivity analysis with polynomial growth payoff functions under the Black-Scholes model (English)
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18 March 2019
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sensitivity analysis
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greeks
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Malliavin calculus
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localization
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