Representation formulas for Malliavin derivatives of diffusion processes
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Publication:2488484
DOI10.1007/s00780-004-0151-6zbMath1088.60057MaRDI QIDQ2488484
Jérôme B. Detemple, Marcel Rindisbacher, René Garcia
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-004-0151-6
65C05: Monte Carlo methods
60J60: Diffusion processes
60H07: Stochastic calculus of variations and the Malliavin calculus
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