Efficient price sensitivity estimation of financial derivatives by weak derivatives (Q3168630): Difference between revisions

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+Optimal Malliavin Weighting Function for the Computation of the Greeks
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+Estimating Security Price Derivatives Using Simulation
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+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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+What you should know about simulation and derivatives
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+OPTION PRICING VIA MONTE CARLO SIMULATIONA WEAK DERIVATIVE APPROACH
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+Measure-valued differentiation for Markov chains
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+Sensitivity estimation for Gaussian systems
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+Sampling derivatives of probabilities
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