Smart Monte Carlo: various tricks using Malliavin calculus (Q4646793): Difference between revisions
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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: Estimating Security Price Derivatives Using Simulation / 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: Applications of Malliavin calculus to Monte-Carlo methods in finance. II / rank | |||
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| Property / cites work: Computation of Greeks for barrier and look-back options using Malliavin calculus / rank | |||
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| Property / cites work: Q4842684 / rank | |||
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Latest revision as of 20:35, 17 July 2024
scientific article; zbMATH DE number 7001537
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Smart Monte Carlo: various tricks using Malliavin calculus |
scientific article; zbMATH DE number 7001537 |
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Smart Monte Carlo: various tricks using Malliavin calculus (English)
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14 January 2019
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Malliavin calculus
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Monte Carlo pricing engines
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Heston model
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